Asset Detail Acct Base Currency Code : USD ALL KR2 and KR3 - KR2GALLKRS00 As of Date : 3/31/2016 Accounting Status : PRELIMINARY

Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

Grand Total 8,899,775,092.272 14,933,152,636.13 ALTERNATIVE INVESTMENTS 223,634,794.510 223,634,794.51 COATUE QUAL PARTNERS 21,179,179.190 21,179,179.19 GLENVIEW INSTITUTION 16,247,244.000 16,247,244.00 HBK FUND II LP 20,189,107.000 20,189,107.00 JANA PARTNERS QUALIFIED LP 17,503,528.000 17,503,528.00 KNIGHTHEAD DOMESTIC FUND L P 18,292,743.000 18,292,743.00 LIBREMAX PARTNERS LP 19,963,596.000 19,963,596.00 LUXOR CAPITAL PARTNERS OFFSHORE LTDD 13,941,730.000 13,941,730.00 PINE RIVER FUND LTD 18,932,896.310 18,932,896.31 QMS DIVERSIFIED 21,234,830.350 21,234,830.35 SCOPIA VII 20,271,046.660 20,271,046.66 TOURBILLON GLOBAL EQ 35,878,894.000 35,878,894.00 CASH & CASH EQUIVALENTS 395,482,647.050 415,028,508.73 BANK OF NY REPO REPO 0.560% 04/13/2016 DD 03/11/16 50,000,000.000 50,000,000.00 BANK OF NY REPO REPO 0.560% 04/13/2016 DD 03/14/16 25,000,000.000 25,000,000.00 BLACKROCK MONEY MARKET FD B 3.000 3.00 BNY MELLON CASH RESERVE 0.010% 12/31/2049 DD 06/26/97 6,685,755.900 6,685,755.90 CANTOR REPO A REPO 0.350% 04/01/2016 DD 03/31/16 14,800,000.000 14,800,000.00 CASH 0.000 6,801,712.46 CASH - BROKER 0.000 -340,711.43 DIVIDENDS RECEIVABLE 0.000 15,324,490.13 DIVIDENDS RECEIVABLE RECLAIM 0.000 4,720,716.88 EB TEMP IVN FD VAR RT 12/31/49 FEE CL 12 144,276,888.150 144,276,888.15 FFX CONTRACTS RECEIVABLE 0.000 228,556,891.32 FOREIGN TAXES PAYABLE - DIVIDENDS 0.000 -571,213.13 FOREIGN TAXES PAYABLE - INTEREST 0.000 -38,565.63 INSTITUTIONAL SEC DISC 04/01/2016 129,000,000.000 128,998,566.67 INSTITUTIONAL SEC DISC 04/18/2016 24,500,000.000 24,490,982.64 INTEREST RECEIVABLE 0.000 15,475,822.36 INTEREST RECEIVABLE RECLAIM 0.000 623,540.01 KENTUCKY ST PROPERTY & BLDGS C 0.600% 11/01/2016 DD 12/03/15 185,000.000 185,000.00 MISCELLANEOUS RECEIVABLES 0.000 31,536.00 NON-BASE CURRENCY 0.000 3,665,954.53 PAYABLE FOR FORWARD FOREIGN EXCHANGE CONTRACTS 0.000 -236,828,034.11 PAYABLE FOR INVESTMENTS PURCHASED 0.000 -31,138,312.23 PAYABLE FOR MGMT FEES (INCLUDED IN PERF VALUE) 0.000 -4,638,384.14 PAYABLE FOR SEC LENDING AGENT FEES 0.000 -81,805.81 PAYABLE FOR SEC LENDING BROKER REBATES 0.000 -71,077.24

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 1 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

PAYABLE FOR UNITS REDEEMED 0.000 -98,553,945.10 RECEIVABLE FOR INVESTMENTS SOLD 0.000 47,802,447.14 RECEIVABLE FOR UNITS ISSUED 0.000 68,200,000.00 RECEIVABLE ON SECURITIES LENDING INCOME 0.000 616,449.36 SECURITIES LENDING POOL 0.000 0.00 U S TREASURY BILL 0.000% 09/15/2016 DD 09/17/15 1,035,000.000 1,033,551.00 VAR MARGIN ON SWAPS 0.000 250.00 CONVERTIBLE OR EXCHANGEABLE SECURITIES 2,056,377.000 16,272,846.16 ALEXANDRIA REAL ESTATE EQUITIE PFD 7.000% CUMULATIVE 50,700.000 1,482,975.00 AMERICAN TOWER CORP PFD 5.500% 33,582.000 3,463,983.30 ANTHEM INC 2.750% 10/15/2042 DD 10/09/12 815,000.000 1,560,215.63 CATALYST BIOSCIENCES INC 0.000% 02/19/2018 DD 08/19/15 5,178.000 5,074.44 CROWN CASTLE INTERNATIONAL COR PFD 4.500% CUMULATIVE 23,933.000 2,565,617.60 EPR PROPERTIES PFD 5.750% CUMULATIVE 15,920.000 413,685.98 EPR PROPERTIES PFD 9.000% CUMULATIVE 57,024.000 1,995,840.00 EQUITY COMMONWEALTH PFD 6.500% CUMULATIVE 11,049.000 275,893.53 FELCOR LODGING TRUST INC PFD 1.950% CUMULATIVE 851.000 21,461.20 JARDEN CORP 1.125% 03/15/2034 DD 03/17/14 500,000.000 632,500.00 LEXINGTON REALTY TRUST PFD 6.500% CUMULATIVE 4,470.000 217,633.13 MGIC INVESTMENT CORP 2.000% 04/01/2020 DD 03/12/13 485,000.000 610,796.88 RAMCO-GERSHENSON PROPERTIES TR PFD 7.250% CUMULATIVE 20,292.000 1,323,850.08 WEYERHAEUSER CO PFD 6.375% CUMULATIVE 33,378.000 1,703,319.39 CONVERTIBLE SECURITIES 437,223.000 25,876,832.58 ANADARKO PETROLEUM CORP PFD 7.500% 12,423.000 428,841.96 BLACK HILLS CORP PFD 7.750% 6,020.000 408,758.00 DOMINION RESOURCES INC/VA PFD 6.000% CUMULATIVE 61,669.000 3,586,052.35 DOMINION RESOURCES INC/VA PFD 6.375% 81,880.000 4,148,859.60 EXELON CORP PFD 6.500% 78,776.000 3,878,142.48 KINDER MORGAN INC/DE PFD 9.750% CUMULATIVE 5,646.000 256,102.56 LACLEDE GROUP INC/THE PFD 6.750% 7,109.000 427,535.26 NEXTERA ENERGY INC PFD 5.799% 5,144.000 311,829.28 NEXTERA ENERGY INC PFD 6.371% 116,815.000 7,021,749.65 POST HOLDINGS INC PFD 5.250% 15,864.000 1,992,042.48 TYSON FOODS INC PFD 4.750% 45,877.000 3,416,918.96 EQUITY 1,214,508,368.818 7,507,720,317.29 1-800-FLOWERS.COM INC 4,224.000 33,285.12 1ST SOURCE CORP 3,640.000 115,897.60 3M CO 82,964.000 13,824,291.32 4LICENSING CORP 1,848.000 64.68

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 2 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

8X8 INC 10,241.000 103,024.46 A H BELO CORP 1,885.000 9,066.85 A SCHULMAN INC 5,577.000 151,805.94 A-MARK PRECIOUS METALS INC 406.000 8,079.40 A-POWER ENERGY GENERATION SYS LTD 11,618.000 697.08 A. M. CASTLE & CO 2,284.000 6,166.80 AAC HOLDINGS INC 4,300.000 85,097.00 AAIPHARMA INC COM 13,700.000 0.00 AAON INC 19,000.000 532,000.00 AAR CORP 5,029.000 117,024.83 AARON'S INC 9,800.000 245,980.00 ABAXIS INC 3,261.000 148,016.79 ABBOTT LABORATORIES 290,013.000 12,131,243.79 ABBVIE INC 248,235.000 14,179,183.20 ABENGOA YIELD PLC 3,000.000 53,340.00 ABEONA THERAPEUTICS INC 4,700.000 12,032.00 ABERCROMBIE & FITCH CO 3,800.000 119,852.00 ABIOMED INC 7,532.000 714,108.92 ABLE LABRATORIES INC COM NEW 2,800.000 0.00 ABM INDUSTRIES INC 10,433.000 337,090.23 ABRAXAS PETROLEUM CORP 1,011.000 1,021.11 ACACIA RESEARCH CORP 7,429.000 28,155.91 ACADIA HEALTHCARE CO INC 2,292.000 126,312.12 ACADIA PHARMACEUTICALS INC 5,774.000 161,441.04 ACADIA REALTY TRUST 7,399.000 259,926.87 ACCELERATE DIAGNOSTICS INC 3,527.000 50,682.99 ACCENTURE PLC 86,100.000 9,935,940.00 ACCEPTANCE INSURANCE COS INC 9,099.000 19.11 ACCESS WORLDWIDE COMMUNICATION 4,593.000 36.74 ACCLAIM ENTMT INC PAR $0.02 71,400.000 249.90 ACCO BRANDS CORP 11,977.000 107,553.46 ACCOM INC 306.000 0.03 ACCOR SA 156,561.000 6,643,954.42 ACCRETIVE HEALTH INC 7,668.000 19,553.40 ACCURAY INC 14,223.000 82,208.94 ACETO CORP 4,873.000 114,807.88 ACHILLION PHARMACEUTICALS INC 16,818.000 129,834.96 ACI WORLDWIDE INC 18,982.000 394,635.78 ACMAT CORP 2,100.000 35,700.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 3 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ACME COMMUNICATIONS INC 3,612.000 104.03 ACME UNITED CORP 264.000 4,313.76 ACORDA THERAPEUTICS INC 6,189.000 163,699.05 ACORN ENERGY INC 2,343.000 328.02 ACTELION LTD 72,573.000 10,889,928.57 ACTIVE POWER INC 1,680.000 1,629.60 ACTIVISION BLIZZARD INC 110,401.000 3,735,969.84 ACTUA CORP 4,559.000 41,258.95 ACTUANT CORP 10,144.000 250,658.24 ACURA PHARMACEUTICALS INC 1,951.000 5,521.33 ACXIOM CORP 11,703.000 250,912.32 ADAMAS PHARMACEUTICALS INC 2,200.000 31,812.00 ADAMIS PHARMACEUTICALS CORP 27.000 165.51 ADAMS RESOURCES & ENERGY INC 3,930.000 157,121.40 ADDUS HOMECARE CORP 5,559.000 95,559.21 ADEPTUS HEALTH INC 1,300.000 72,202.00 ADMIRAL GROUP PLC 279,960.000 7,979,324.46 ADOBE SYSTEMS INC 68,332.000 6,409,541.60 ADT CORP/THE 36,118.000 1,490,228.68 ADTRAN INC 9,316.000 188,369.52 ADVANCE AUTO PARTS INC 10,054.000 1,612,058.36 ADVANCED DRAINAGE SYSTEMS INC 2,950.000 62,835.00 ADVANCED EMISSIONS SOLUTIONS I 3,600.000 23,940.00 ADVANCED ENERGY INDUSTRIES INC 5,621.000 195,554.59 ADVANCED ENVIRONMENTAL RECYCLI 4,484.000 300.88 ADVANSOURCE BIOMATERIALS CORP 2,778.000 450.04 ADVANTA CORP 17,350.000 0.00 ADVAXIS INC 3,200.000 28,800.00 ADVISORY BOARD CO/THE 7,329.000 236,360.25 AEGERION PHARMACEUTICALS INC 2,400.000 8,880.00 AEGION CORP 4,851.000 102,307.59 AEHR TEST SYSTEMS 2,371.000 2,726.65 AEOLUS PHARMACEUTICALS INC 328.000 59.04 AEON FINANCIAL SERVICE CO LTD 493,800.000 11,668,960.45 AEP INDUSTRIES INC 1,862.000 122,892.00 AERCAP HOLDINGS NV 83,175.000 3,223,863.00 AERIE PHARMACEUTICALS INC 2,100.000 25,536.00 AEROJET ROCKETDYNE HOLDINGS IN 6,983.000 114,381.54 AEROPOSTALE INC 8,809.000 1,748.59

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 4 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

AES CORP/VA 90,463.000 1,067,463.40 AETNA INC 79,038.000 8,879,919.30 AEW UK REIT PLC 361,748.000 495,243.24 AFFILIATED MANAGERS GROUP INC 7,403.000 1,202,247.20 AFFIRMATIVE INSURANCE HOLDINGS 1,612.000 4.63 AFFYMAX INC 1,106.000 102.59 AFFYMETRIX INC 17,026.000 238,534.26 AFLAC INC 57,591.000 3,636,295.74 AFRICAN BANK INVESTMENTS LTD 297,359.000 0.00 AG MORTGAGE INVESTMENT TRUST I 4,864.000 63,572.48 AG&E HOLDINGS INC 2,275.000 796.25 AGCO CORP 22,000.000 1,093,400.00 AGENUS INC 7,700.000 32,032.00 AGFEED INDUSTRIES INC NEVADA 5,237.000 0.00 AGILENT TECHNOLOGIES INC 44,945.000 1,791,058.25 AGILYSYS INC 5,147.000 52,550.87 AGL RESOURCES INC 16,507.000 1,075,265.98 AGREE REALTY CORP 23,048.000 886,656.56 AIA GROUP LTD 2,985,600.000 16,916,943.74 AIR METHODS CORP 8,135.000 294,649.70 AIR PRODUCTS & CHEMICALS INC 26,613.000 3,833,602.65 AIR TRANSPORT SERVICES GROUP I 3,194.000 49,123.72 AIRCASTLE LTD 35,898.000 798,371.52 AIRGAS INC 8,939.000 1,266,119.96 AK STEEL HOLDING CORP 24,507.000 101,213.91 AKAMAI TECHNOLOGIES INC 24,236.000 1,346,794.52 AKORN INC 12,310.000 289,654.30 AKSA AKRILIK KIMYA SANAYII AS 904,500.000 3,353,688.25 AKSYS LTD 9,696.000 0.01 ALABAMA AIRCRAFT INDUSTRIES IN 919.000 22.98 ALAMO GROUP INC 1,742.000 97,046.82 ALASKA AIR GROUP INC 38,385.000 3,148,337.70 ALASKA COMMUNICATIONS SYSTEMS 4,151.000 7,388.78 ALBANY INTERNATIONAL CORP 3,259.000 122,505.81 ALBANY MOLECULAR RESEARCH INC 4,996.000 76,388.84 ALBEMARLE CORP 38,675.000 2,472,492.75 ALCOA INC 344,973.000 3,304,841.34 ALERE INC 4,200.000 212,562.00 ALEXANDER & BALDWIN INC 5,810.000 213,110.80

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 5 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ALEXANDER'S INC 893.000 339,831.15 ALEXANDRIA REAL ESTATE EQUITIE 74,355.000 6,758,125.95 ALEXION PHARMACEUTICALS INC 30,892.000 4,300,784.24 ALEXZA PHARMACEUTICALS INC 428.000 207.37 ALICO INC 1,142.000 31,530.62 ALJ REGIONAL HOLDINGS INC 675.000 2,902.50 ALKERMES PLC 270,000.000 9,231,300.00 ALLEGHENY TECHNOLOGIES INC 97,540.000 1,589,902.00 ALLEGIANT TRAVEL CO 2,571.000 457,792.26 ALLEGION PLC 13,177.000 839,506.67 ALLERGAN PLC 54,120.000 14,505,783.60 ALLETE INC 7,384.000 414,020.88 ALLIANCE DATA SYSTEMS CORP 13,841.000 3,045,020.00 ALLIANCE FIBER OPTIC PRODUCTS 3,978.000 58,834.62 ALLIANCE HEALTHCARE SERVICES I 3,249.000 23,360.31 ALLIANCE ONE INTERNATIONAL INC 1,928.000 33,855.68 ALLIANCE PHARMACEUTICAL CORP 5,396.000 0.00 ALLIANCE SEMICONDUCTOR CORP 8,268.000 5,787.60 ALLIANZ SE 44,700.000 7,281,570.66 ALLIED HEALTHCARE PRODUCTS INC 250.000 162.50 ALLIED MOTION TECHNOLOGIES INC 3,455.000 62,190.00 ALLIED WORLD ASSURANCE CO HOLD 6,090.000 212,784.60 ALLIN CORP 7.000 147.00 ALLISON TRANSMISSION HOLDINGS 122,305.000 3,299,788.90 ALLSCRIPTS HEALTHCARE SOLUTION 11,800.000 155,878.00 ALLSTATE CORP/THE 138,483.000 9,329,599.71 ALMOST FAMILY INC 4,790.000 178,379.60 ALON USA ENERGY INC 9,247.000 95,429.04 ALPHA NATURAL RESOURCES INC 30,047.000 561.88 ALPHA TECHNOLOGIES GROUP INC 4,243.000 25.46 ALPHABET INC 94,526.000 71,266,896.70 ALPHATEC HOLDINGS INC 3,326.000 798.24 ALPINE GROUP INC/DE 5,287.000 1,216.01 ALSEA SAB DE CV 3,564,430.000 13,487,959.94 ALTIGEN COMMUNICATIONS INC 1,737.000 470.28 ALTISOURCE ASSET MANAGEMENT CO 380.000 4,351.00 ALTISOURCE PORTFOLIO SOLUTIONS 2,778.000 67,088.70 ALTISOURCE RESIDENTIAL CORP 799.000 9,588.00 ALTRA INDUSTRIAL MOTION CORP 3,286.000 91,285.08

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 6 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ALTRIA GROUP INC 268,474.000 16,822,580.84 ALTUS PHARMACEUTICALS INC 4,112.000 0.00 ALUPAR INVESTIMENTO SA 77,584.000 322,245.06 AMAG PHARMACEUTICALS INC 6,895.000 161,343.00 AMAZON.COM INC 58,015.000 34,440,024.60 AMB FINANCIAL CORP 627.000 5,580.30 AMBAC FINANCIAL GROUP INC 2,462.000 38,899.60 AMBASSADORS INTERNATIONAL INC 438.000 1.51 AMCAST INDL CORP COM 11,100.000 0.00 AMCOR LTD/AUSTRALIA 1,016,497.000 11,220,843.55 AMDOCS LTD 64,900.000 3,921,258.00 AMEC FOSTER WHEELER PLC 990,000.000 6,403,171.50 AMEDISYS INC 6,100.000 294,874.00 AMEN PROPERTIES INC 13.000 5,200.00 AMEREN CORP 74,895.000 3,752,239.50 AMERICA'S CAR-MART INC/TX 1,407.000 35,175.00 AMERICAN AIRLINES GROUP INC 89,897.000 3,686,675.97 AMERICAN ASSETS TRUST INC 5,254.000 209,739.68 AMERICAN AXLE & MANUFACTURING 10,512.000 161,779.68 AMERICAN BILTRITE INC 15.000 4,623.90 AMERICAN CAPITAL AGENCY CORP 14,300.000 266,409.00 AMERICAN CAPITAL MORTGAGE INVE 1,332.000 19,553.76 AMERICAN CARESOURCE HOLDINGS I 275.000 129.25 AMERICAN EAGLE OUTFITTERS INC 131,047.000 2,184,553.49 AMERICAN ELECTRIC POWER CO INC 67,334.000 4,470,977.60 AMERICAN EQUITY INVESTMENT LIF 11,445.000 192,276.00 AMERICAN EXPRESS CO 127,263.000 7,813,948.20 AMERICAN HOME MORTGAGE INVESTM 7,177.000 0.00 AMERICAN HOMES 4 RENT 3,199.000 50,864.10 AMERICAN INTERNATIONAL GROUP I 224,114.000 12,113,361.70 AMERICAN INTERNATIONAL GROUP INC 138,791.000 0.00 AMERICAN LOCKER GROUP INC 669.000 2.74 AMERICAN MEDICAL ALERT CORP CONTRA 2,800.000 0.00 AMERICAN MORTGAGE ACCEPTANCE C 700.000 2.32 AMERICAN NATIONAL BANKSHARES I 1,142.000 28,926.86 AMERICAN ORIENTAL BIOENGINEERI 22.000 1.28 AMERICAN PUBLIC EDUCATION INC 1,913.000 39,465.19 AMERICAN RAILCAR INDUSTRIES IN 2,637.000 107,405.01 AMERICAN REALTY INVESTORS INC 805.000 4,153.80

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 7 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

AMERICAN SCIENCE & ENGINEERING 1,373.000 38,018.37 AMERICAN SHARED HOSPITAL SERVI 859.000 1,872.62 AMERICAN SKIING CO COM 20,300.000 324.80 AMERICAN SOFTWARE INC/GA 8,055.000 72,495.00 AMERICAN STATES WATER CO 6,456.000 254,108.16 AMERICAN SUPERCONDUCTOR CORP 791.000 6,011.60 AMERICAN TOWER CORP 58,126.000 5,950,358.62 AMERICAN VANGUARD CORP 3,292.000 51,947.76 AMERICAN VANTAGE COS 5,193.000 146.79 AMERICAN WATER WORKS CO INC 24,409.000 1,682,512.37 AMERICAN WOODMARK CORP 3,252.000 242,566.68 AMERIGAS PARTNERS LP 25,581.000 1,112,006.07 AMERIPRISE FINANCIAL INC 23,170.000 2,178,211.70 AMERIS BANCORP 2,184.000 64,602.72 AMERISAFE INC 2,336.000 122,733.44 AMERISERV FINANCIAL INC 4,472.000 13,371.28 AMERISOURCEBERGEN CORP 45,964.000 3,978,184.20 AMES NATIONAL CORP 599.000 14,831.24 AMETEK INC 32,297.000 1,614,204.06 AMGEN INC 117,145.000 17,563,549.85 AMICUS THERAPEUTICS INC 3,142.000 26,549.90 AMISTAR CORP 962.000 3.37 AMKOR TECHNOLOGY INC 21,812.000 128,472.68 AMN HEALTHCARE SERVICES INC 8,338.000 280,240.18 AMOREPACIFIC CORP 31,070.000 10,500,664.77 AMPAL-AMERICAN ISRAEL CORP 271.000 0.98 AMPCO-PITTSBURGH CORP 1,449.000 20,155.59 AMPHASTAR PHARMACEUTICALS INC 6,600.000 79,200.00 AMPHENOL CORP 42,239.000 2,442,258.98 AMPLIPHI BIOSCIENCES CORP 25.000 96.25 AMREP CORP 1,165.000 5,126.00 AMSURG CORP 67,821.000 5,059,446.60 AMTECH SYSTEMS INC 1,803.000 11,701.47 ANACOMP INC 3.000 6.03 ANACOR PHARMACEUTICALS INC 2,183.000 116,681.35 ANADARKO PETROLEUM CORP 69,718.000 3,246,767.26 ANALOG DEVICES INC 42,510.000 2,516,166.90 ANALOGIC CORP 1,609.000 127,127.09 ANC RENTAL CORP 1,750.000 1.75

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 8 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ANCHOR BANCORP WISCONSIN INC 950.000 42,807.00 ANDERSONS INC/THE 5,158.000 162,012.78 ANDREA ELECTRONICS CORP 4,974.000 460.10 ANEMOSTAT DOOR PRODS INC COM 144A 2,231.000 0.00 ANEMOSTAT INC COM 2,231.000 0.00 ANESIVA INC 4,789.000 14.36 ANGIODYNAMICS INC 5,915.000 72,695.35 ANHEUSER-BUSCH INBEV SA/NV 81,815.000 10,185,626.95 ANI PHARMACEUTICALS INC 2,299.000 77,384.34 ANIKA THERAPEUTICS INC 2,888.000 129,151.36 ANNALY CAPITAL MANAGEMENT INC 153,900.000 1,579,014.00 ANTERO MIDSTREAM PARTNERS LP 72,785.000 1,609,276.35 ANTHEM INC 35,837.000 4,980,984.63 ANTHERA PHARMACEUTICALS INC 4,100.000 14,842.00 ANTHRACITE CAPITAL INC 6,549.000 6.15 ANWORTH MORTGAGE ASSET CORP 23,720.000 110,535.20 AON PLC 169,484.000 17,702,603.80 AP THAILAND PCL 28,312,700.000 4,909,251.63 APACHE CORP 51,873.000 2,531,921.13 APARTMENT INVESTMENT & MANAGEM 21,473.000 898,000.86 APEX SILVER MINES 22,900.000 0.00 APHTON CORP 11,691.000 11.69 APOGEE ENTERPRISES INC 36,877.000 1,618,531.53 APOLLO COMMERCIAL REAL ESTATE 7,737.000 126,113.10 APOLLO EDUCATION GROUP INC 13,357.000 109,727.76 APOLLO RESIDENTIAL MORTGAGE IN 6,539.000 87,753.38 APOLLO TYRES LTD 2,604,300.000 6,878,207.20 APPLE INC 927,780.000 101,118,742.20 APPLIED ENERGETICS INC 7,099.000 85.19 APPLIED EXTRUSION TECHNOLOGIES INC 34,500.000 0.00 APPLIED INDUSTRIAL TECHNOLOGIE 7,144.000 310,049.60 APPLIED MATERIALS INC 358,977.000 7,603,132.86 APPLIED MICRO CIRCUITS CORP 6,999.000 45,213.54 APPLIEDTHEORY CORP 5,601.000 0.00 APPROACH RESOURCES INC 4,451.000 5,163.16 AQUACELL TECHNOLOGIES INC 3,700.000 0.00 ARADIGM CORP 116.000 531.28 ARALEZ PHARMACEUTICALS INC 8,381.000 29,752.55 ARBOR REALTY TRUST INC 3,611.000 24,446.47

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 9 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ARC DOCUMENT SOLUTIONS INC 5,836.000 26,262.00 ARCA BIOPHARMA INC 3.000 10.29 ARCBEST CORP 4,080.000 88,087.20 ARCH COAL INC 3,258.000 993.70 ARCHER-DANIELS-MIDLAND CO 81,633.000 2,964,094.23 ARCHROCK INC 8,569.000 68,552.00 ARCTIC CAT INC 2,885.000 48,468.00 ARENA PHARMACEUTICALS INC 34,294.000 67,559.18 ARES COMMERCIAL REAL ESTATE CO 4,569.000 50,030.55 ARGO GROUP INTERNATIONAL HOLDI 7,381.000 423,595.59 ARI NETWORK SERVICES INC 810.000 3,547.80 ARIAD PHARMACEUTICALS INC 154,760.000 988,916.40 ARK RESTAURANTS CORP 1,034.000 21,300.40 ARLINGTON ASSET INVESTMENT COR 965.000 12,091.45 ARM HOLDINGS PLC 751,755.000 10,956,244.25 ARMADA HOFFLER PROPERTIES INC 168,606.000 1,896,817.50 ARMOUR RESIDENTIAL REIT INC 6,525.000 140,483.25 AROTECH CORP 493.000 1,197.99 ARQULE INC 3,692.000 5,907.20 ARRAY BIOPHARMA INC 11,373.000 33,550.35 ARRHYTHMIA RESEARCH TECHNOLOGY 1,925.000 7,969.50 ARRIS INTERNATIONAL PLC 58,052.000 1,330,551.84 ARROW FINANCIAL CORP 3,856.000 102,453.92 ARROW RESOURCES DEVELOPMENT IN 2,800.000 4.20 ARROWHEAD RESEARCH CORP 9,151.000 44,107.82 ARTESIAN RESOURCES CORP 4,901.000 137,031.96 ARTISAN PARTNERS ASSET MANAGEM 5,000.000 154,200.00 ASB FINANCIAL CORP 1,237.000 15,165.62 ASBURY AUTOMOTIVE GROUP INC 8,409.000 503,194.56 ASCENA RETAIL GROUP INC 25,513.000 282,173.78 ASCENDAS REAL ESTATE INVESTMEN 557,422.000 989,335.05 ASCENT CAPITAL GROUP INC 1,692.000 25,058.52 ASFG INC 44.000 0.04 ASHFORD HOSPITALITY PRIME INC 5,916.000 69,039.72 ASHFORD HOSPITALITY TRUST INC 11,799.000 75,277.62 ASHFORD INC 142.000 6,473.78 ASHTEAD GROUP PLC 751,494.000 9,332,256.90 ASICS CORP 382,400.000 6,821,584.64 ASPEN INSURANCE HOLDINGS LTD 41.000 1,955.70

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 10 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ASPEN TECHNOLOGY INC 14,828.000 535,735.64 ASSA ABLOY AB 477,645.000 9,438,949.14 ASSEMBLY BIOSCIENCES INC 2,100.000 10,542.00 ASSICURAZIONI GENERALI SPA 375,400.000 5,574,065.53 ASSOCIATED BRITISH FOODS PLC 257,671.000 12,403,039.19 ASSOCIATED CAPITAL GROUP INC 3,055.000 85,601.10 ASSURANT INC 8,882.000 685,246.30 ASTA FUNDING INC 1,562.000 13,917.42 ASTEA INTERNATIONAL INC 1,855.000 3,317.67 ASTEC INDUSTRIES INC 2,455.000 114,574.85 ASTERIAS BIOTHERAPEUTICS INC 391.000 1,825.97 ASTORIA FINANCIAL CORP 17,178.000 272,099.52 ASTRO-MED INC 1,237.000 17,144.82 ASTRONICS CORP 6,693.000 254,347.75 ASTROTECH CORP 537.000 1,122.33 ASURE SOFTWARE INC 1,661.000 8,902.96 AT&T INC 907,663.000 35,553,159.71 AT&T LATIN AMER CORP COM 30,700.000 33.77 ATLANTIC AMERICAN CORP 9,417.000 41,811.48 ATLANTIC COAST FINANCIAL CORP 148.000 893.92 ATLANTIC PREMIUM BRANDS LTD 3,850.000 154.00 ATLANTIC TELE-NETWORK INC 4,417.000 334,941.11 ATLANTICUS HOLDINGS CORP 1,786.000 5,358.00 ATLANTIS PLASTICS INC 1,094.000 0.01 ATLAS AIR WORLDWIDE HOLDINGS I 4,715.000 199,303.05 ATNA RESOURCES LTD 1,222.000 3.91 ATP OIL & GAS CORP/UNITED STAT 4,974.000 0.00 ATRICURE INC 4,159.000 69,995.97 ATRINSIC INC 1,592.000 1.48 ATRION CORP 730.000 288,612.80 ATRM HOLDINGS INC 197.000 448.42 ATWOOD OCEANICS INC 7,700.000 70,609.00 AUSNET SERVICES 1,313,148.000 1,505,107.26 AUTO TRADER GROUP PLC 2,267,908.000 12,712,690.26 AUTOBYTEL INC 1,060.000 18,401.60 AUTODESK INC 30,897.000 1,801,604.07 AUTOMATIC DATA PROCESSING INC 62,727.000 5,627,239.17 AUTONATION INC 10,145.000 473,568.60 AUTOZONE INC 4,142.000 3,299,889.98

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 11 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

AV HOMES INC 3,010.000 34,193.60 AVADO BRANDS INC COM 40,600.000 0.00 AVALANCHE BIOTECHNOLOGIES INC 1,300.000 6,721.00 AVALONBAY COMMUNITIES INC 18,786.000 3,573,097.20 AVANGRID INC 14,611.000 586,047.21 AVAX TECHNOLOGIES INC 1,969.000 26.58 AVERY DENNISON CORP 12,263.000 884,284.93 AVG TECHNOLOGIES NV 2,600.000 53,950.00 AVIAT NETWORKS INC 14,938.000 10,605.98 AVID TECHNOLOGY INC 4,706.000 31,812.56 AVINCI MEDIA CORP 4,781.000 0.00 AVISTA CORP 11,038.000 450,129.64 AVIVA PLC 1,003,900.000 6,581,091.85 AVX CORP 4,937.000 62,058.09 AWARE INC 5,582.000 20,820.86 AXCELIS TECHNOLOGIES INC 11,032.000 30,889.60 AXCESS INTERNATIONAL INC 2,712.000 125.60 AXIALL CORP 11,915.000 260,223.60 AXION INTERNATIONAL HOLDINGS I 122.000 0.06 AXOGEN INC 469.000 2,513.84 AXT INC 5,876.000 14,513.72 AZIMUT HOLDING SPA 495,000.000 11,422,564.31 AZZ INC 5,000.000 283,000.00 B&G FOODS INC 7,845.000 273,084.45 BADGER METER INC 4,248.000 282,534.48 BADGER PAPER MILLS INC 2,800.000 28.00 BAE SYSTEMS PLC 956,300.000 6,996,154.05 BAIDU INC ADR 42,284.000 8,029,308.76 BAKER HUGHES INC 83,549.000 3,661,952.67 BALCHEM CORP 4,509.000 279,648.18 BALDWIN & LYONS INC 3,258.000 80,179.38 BALL CORP 38,082.000 2,714,865.78 BALLANTYNE STRONG INC 1,015.000 4,658.85 BANCA MEDIOLANUM SPA 688,476.000 5,499,715.31 BANCFIRST CORP 2,718.000 155,007.54 BANCO LATINOAMERICANO DE COMER 2,865.000 69,390.30 BANCORP INC/THE 2,026.000 11,588.72 BANCORPSOUTH INC 15,741.000 335,440.71 BANK HAPOALIM BM 1,136,500.000 5,894,866.33

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 12 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

BANK MANDIRI PERSERO TBK PT 15,632,979.000 12,143,299.44 BANK MUTUAL CORP 9,930.000 75,170.10 BANK NEGARA INDONESIA PERSERO 17,637,200.000 6,916,569.07 BANK OF AMERICA CORP 1,509,366.000 20,406,628.32 BANK OF FLORIDA CORP 1,663.000 6.65 BANK OF HAWAII CORP 6,641.000 453,447.48 BANK OF MARIN BANCORP 1,190.000 58,571.80 BANK OF NEW YORK MELLON CORP/T 147,515.000 5,432,977.45 BANK OF NOVA SCOTIA 131,100.000 6,433,118.41 BANK OF SOUTH CAROLINA CORP 1,591.000 25,090.07 BANK OF THE OZARKS INC 13,211.000 554,465.67 BANKFINANCIAL CORP 2,829.000 33,438.78 BANKRATE INC 7,077.000 64,896.09 BANKUNITED FINANCIAL CORP 4,941.000 23.21 BANKUNITED INC 108,200.000 3,726,408.00 BANNER CORP 2,972.000 124,942.88 BAR HARBOR BANKSHARES 1,483.000 49,265.26 BARCLAYS AFRICA GROUP LTD 575,300.000 5,851,178.04 BARNES & NOBLE EDUCATION INC 3,485.000 34,153.00 BARNES & NOBLE INC 5,516.000 68,177.76 BARNES GROUP INC 8,252.000 289,067.56 BARNWELL INDUSTRIES INC 2,345.000 3,845.80 BARRATT DEVELOPMENTS PLC 808,600.000 6,514,135.37 BARRETT BUSINESS SERVICES INC 4,924.000 141,565.00 BARRICK GOLD CORP 103,100.000 1,400,098.00 BASIC ENERGY SERVICES INC 6,831.000 18,853.56 BASSETT FURNITURE INDUSTRIES I 2,205.000 70,251.30 BAXALTA INC 80,335.000 3,245,534.00 BAXANO SURGICAL INC 2,475.000 9.90 BAXTER INTERNATIONAL INC 132,675.000 5,450,289.00 BAY BANCORP INC 783.000 3,774.06 BAYER AG 152,075.000 17,901,586.95 BB LIQUIDATING INC 31,721.000 279.14 BB&T CORP 132,527.000 4,409,173.29 BBCN BANCORP INC 9,027.000 137,120.13 BBX CAPITAL CORP 57.000 909.72 BCB BANCORP INC 1,249.000 12,502.49 BEACON POWER CORP 2,067.000 17.58 BEACON ROOFING SUPPLY INC 6,503.000 266,688.03

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 13 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

BEARD CO 1,181.000 0.47 BEARINGPOINT INC 1,404.000 0.00 BEASLEY BROADCAST GROUP INC 505.000 1,772.55 BEAZER HOMES USA INC 709.000 6,182.48 BEBE STORES INC 4,472.000 2,458.70 BECTON DICKINSON AND CO 56,345.000 8,554,297.90 BED BATH & BEYOND INC 22,431.000 1,113,474.84 BEL FUSE INC 7,939.000 112,939.80 BELDEN INC 7,467.000 458,324.46 BELIEVING TODAY INC 3,700.000 0.00 BELLICUM PHARMACEUTICALS INC 2,300.000 21,505.00 BELMOND LTD 14,041.000 133,249.09 BEMIS CO INC 8,433.000 436,660.74 BENCHMARK ELECTRONICS INC 9,557.000 220,288.85 BENEFICIAL BANCORP INC 10,152.000 138,980.88 BERKSHIRE BANCORP INC/NY 2,461.000 19,072.75 BERKSHIRE HATHAWAY INC 276,504.000 39,230,387.52 BERKSHIRE HILLS BANCORP INC 2,670.000 71,796.30 BERRY PLASTICS GROUP INC 154,247.000 5,576,029.05 BEST BUY CO INC 98,831.000 3,206,077.64 BETTER ENVIRONMENT CONCEPTS IN 42.000 1.26 BFC FINANCIAL CORP 820.000 2,476.40 BGC PARTNERS INC 25,734.000 232,892.70 BICOASTAL COMMUNICATIONS INC 16.000 0.00 BIG 5 SPORTING GOODS CORP 1,114.000 12,376.54 BIG LOTS INC 48,843.000 2,212,099.47 BIGLARI HOLDINGS INC 357.000 132,700.47 BILL BARRETT CORP 7,120.000 44,286.40 BIOANALYTICAL SYSTEMS INC 1,002.000 1,147.46 BIOCRYST PHARMACEUTICALS INC 9,803.000 27,742.49 BIODEL INC 784.000 258.72 BIODELIVERY SCIENCES INTERNATI 10,690.000 34,528.70 BIOGEN INC 32,565.000 8,477,320.80 BIOJECT MEDICAL TECHNOLOGIES I 3,893.000 0.07 BIOLASE INC 4,186.000 5,483.66 BIOPURE CORP 374.000 4.49 BIOSCRIP INC 17,125.000 36,647.50 BIOSPECIFICS TECHNOLOGIES CORP 5,409.000 188,341.38 BIOTA PHARMACEUTICALS INC 1,127.000 1,690.50

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 14 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

BIOTELEMETRY INC 7,072.000 82,600.96 BIOTIME INC 2,853.000 8,188.11 BIRKS GROUP INC 473.000 212.85 BJ'S RESTAURANTS INC 4,681.000 194,589.17 BKF CAPITAL GROUP INC 175.000 125.13 BLACK BOX CORP 6,348.000 85,507.56 BLACK DIAMOND INC 2,411.000 10,897.72 BLACK HILLS CORP 53,794.000 3,234,633.22 BLACKBAUD INC 7,164.000 450,543.96 BLACKHAWK NETWORK HOLDINGS INC 8,979.000 307,979.70 BLACKROCK EMERGING MARKETS SMALL CAP 1,154,614.380 12,631,453.61 BLACKROCK INC 17,309.000 5,894,926.13 BLACKROCK MSCI CANADA SMALL CAP 376,114.590 3,896,700.98 BLACKROCK MSCI EAFE SMALL CAP 3,353,912.350 41,695,030.04 BLACKSTONE MORTGAGE TRUST INC 59,321.000 1,593,362.06 BLONDER TONGUE LABORATORIES IN 2,737.000 1,040.06 BLOOMIN' BRANDS INC 13,150.000 221,840.50 BLOUNT INTERNATIONAL INC 9,353.000 93,342.94 BLUCORA INC 671.000 3,462.36 BLUE NILE INC 2,331.000 59,930.01 BLUE RIVER BANCSHARES INC 962.000 11.54 BLUEPRINT MEDICINES CORP 2,100.000 37,905.00 BMB MUNAI INC 7,468.000 20.16 BMC INDS INC MINN COM 26,300.000 0.00 BNC BANCORP 450.000 9,504.00 BNCCORP INC 906.000 13,408.80 BNP PARIBAS SA 122,200.000 6,159,160.63 BNS HOLDING INC 94.000 14.10 BOB EVANS FARMS INC/DE 3,476.000 162,294.44 BOEING CO/THE 114,393.000 14,521,047.42 BOFI HOLDING INC 8,700.000 185,658.00 BOISE CASCADE CO 5,671.000 117,503.12 BOMBAY CO 19,600.000 0.00 BON-TON STORES INC/THE 2,049.000 4,651.23 BONANZA CREEK ENERGY INC 4,489.000 7,137.51 BONDED MTRS INC COM 200.000 0.00 BONTEX INC 350.000 17.85 BOOZ ALLEN HAMILTON HOLDING CO 135,707.000 4,109,207.96 BORDERS GROUP INC 7,555.000 0.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 15 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

BORGWARNER INC 119,230.000 4,578,432.00 BOSTON BEER CO INC/THE 2,064.000 381,984.48 BOSTON PRIVATE FINANCIAL HOLDI 8,281.000 94,817.45 BOSTON PROPERTIES INC 21,061.000 2,676,431.88 BOSTON SCIENTIFIC CORP 477,620.000 8,984,032.20 BOTTOMLINE TECHNOLOGIES DE INC 4,730.000 144,217.70 BOVIE MEDICAL CORP 1,373.000 2,292.91 BOWL AMERICA INC 4,617.000 64,638.00 BOYD GAMING CORP 11,900.000 245,854.00 BOYDS COLLECTION LTD COM 52,800.000 0.00 BOYDS COLLECTION LTD/THE 833.000 0.08 BP PLC 1,175,300.000 5,914,939.30 BPO MANAGEMENT SERVICES INC 2,475.000 0.00 BPOST SA 91,004.000 2,531,923.59 BRADY CORP 8,496.000 228,032.64 BRANDYWINE REALTY TRUST 29,474.000 413,520.22 BRIDGE BANCORP INC 1,850.000 56,369.50 BRIDGFORD FOODS CORP 3,720.000 44,900.40 BRIGGS & STRATTON CORP 7,601.000 181,815.92 BRIGHT HORIZONS FAMILY SOLUTIO 4,365.000 282,764.70 BRIGHTSTAR INFORMATION TECHNOL 4,156.000 0.42 BRINK'S CO/THE 9,765.000 328,006.35 BRISTOL-MYERS SQUIBB CO 277,529.000 17,728,552.52 BRISTOW GROUP INC 5,714.000 108,108.88 BRITISH AMERICAN TOBACCO PLC 279,183.000 16,411,931.79 BROADCOM LTD 65,833.000 10,171,198.50 BROADSOFT INC 4,183.000 168,784.05 BROOKFIELD INFRASTRUCTURE PART 14,905.000 627,947.65 BROOKFIELD RENEWABLE ENERGY PA 7,913.000 236,994.35 BROOKLINE BANCORP INC 17,119.000 188,480.19 BROOKS AUTOMATION INC 9,068.000 94,307.20 BROWN-FORMAN CORP 13,781.000 1,357,015.07 BRT REALTY TRUST 948.000 6,588.60 BRUKER CORP 21,756.000 609,168.00 BRYN MAWR BANK CORP 1,076.000 27,685.48 BSML INC 1,459.000 0.00 BSQUARE CORP 1,871.000 11,076.32 BUCKEYE PARTNERS LP 85,873.000 5,834,211.62 BUCKLE INC/THE 5,870.000 198,816.90

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 16 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

BUFFALO WILD WINGS INC 3,239.000 479,760.68 BUILDERS FIRSTSOURCE INC 4,652.000 52,428.04 BUILDING MATLS HLDG CORP COM 12,400.000 50.84 BUNGE LTD 2,500.000 141,675.00 BURBERRY GROUP PLC 440,000.000 8,632,423.80 BURLINGTON STORES INC 11,450.000 643,948.00 BUTLER INTERNATIONAL INC 4,024.000 20.48 C&J ENERGY SERVICES LTD 5,348.000 7,540.68 CA INC 40,575.000 1,249,304.25 CABLEVISION SYSTEMS CORP 30,512.000 1,006,896.00 CABOT CORP 625.000 30,206.25 CABOT OIL & GAS CORP 62,809.000 1,426,392.39 CACHE INC 3,062.000 5.82 CACI INTERNATIONAL INC 4,291.000 457,849.70 CADIZ INC 250.000 1,305.00 CADUS CORP 2,634.000 2,660.34 CAGY INDUSTRIES INC 2,037.000 0.00 CAI INTERNATIONAL INC 2,137.000 20,643.42 CAL DIVE INTERNATIONAL INC 9,001.000 17.10 CALAMOS ASSET MANAGEMENT INC 7,159.000 60,779.91 CALAMP CORP 5,884.000 105,500.12 CALATLANTIC GROUP INC 11,835.000 395,525.70 CALBEE INC 241,600.000 9,608,541.37 CALERES INC 13,310.000 376,539.90 CALGON CARBON CORP 9,685.000 135,783.70 CALIFORNIA COASTAL COMMUNITIES 3,300.000 8.25 CALIFORNIA FIRST NATIONAL BANC 3,321.000 43,671.15 CALIFORNIA RESOURCES CORP 9,781.123 10,074.55 CALIFORNIA WATER SERVICE GROUP 6,593.000 176,164.96 CALIX INC 5,028.000 35,648.52 CALLAWAY GOLF CO 14,337.000 130,753.44 CALLIDUS SOFTWARE INC 3,638.000 60,681.84 CALLON PETROLEUM CO 9,558.000 84,588.30 CALMARE THERAPEUTICS INC 1,369.000 277.77 CALTEX AUSTRALIA LTD 363,326.000 9,508,199.64 CAMBEX CORP 5,237.000 21.47 CAMBIUM LEARNING GROUP INC 1,926.000 8,224.02 CAMBREX CORP 12,684.000 558,096.00 CAMBRIDGE HEART INC 5,193.000 0.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 17 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CAMDEN NATIONAL CORP 2,077.000 87,234.00 CAMERON INTERNATIONAL CORP 26,272.000 1,761,537.60 CAMPBELL SOUP CO 34,257.000 2,185,254.03 CANADIAN PACIFIC RAILWAY LTD 71,280.000 9,508,959.77 CANADIAN TIRE CORP LTD CL A 19,400.000 2,027,667.09 CANO PETROLEUM INC 3,018.000 0.00 CANTEL MEDICAL CORP 6,580.000 469,548.80 CANTERBURY PARK HOLDING CORP 862.000 8,904.46 CAP GEMINI SA 118,410.000 11,142,859.26 CAPELLA EDUCATION CO 1,725.000 90,804.00 CAPITAL BANK FINANCIAL CORP 1,909.000 58,892.65 CAPITAL CITY BANK GROUP INC 1,993.000 29,077.87 CAPITAL ONE FINANCIAL CORP 72,315.000 5,012,152.65 CAPITAL SENIOR LIVING CORP 4,485.000 83,062.20 CAPITALAND MALL TRUST 50,534.000 78,431.65 CAPITOL BANCORP LTD 1,356.000 3.77 CAPITOL FEDERAL FINANCIAL INC 21,740.000 288,272.40 CAPRICOR THERAPEUTICS INC 62.000 153.14 CAPSTEAD MORTGAGE CORP 16,926.000 167,398.14 CAPSTONE THERAPEUTICS CORP 6,299.000 566.91 CAPSTONE TURBINE CORP 1,035.000 1,656.00 CARBO CERAMICS INC 3,141.000 44,602.20 CARDICA INC 166.000 590.96 CARDINAL FINANCIAL CORP 3,199.000 65,099.65 CARDINAL HEALTH INC 75,058.000 6,151,003.10 CARDIOVASCULAR SYSTEMS INC 5,702.000 59,129.74 CARDTRONICS INC 83,379.000 3,000,810.21 CARE CAPITAL PROPERTIES INC 14,044.000 376,940.96 CAREER EDUCATION CORP 5,503.000 24,983.62 CARETRUST REIT INC 69,075.000 877,252.50 CARLSBERG A/S 127,196.000 12,139,937.46 CARMAX INC 26,839.000 1,371,472.90 CARMIKE CINEMAS INC 1,326.000 39,833.04 CARNIVAL CORP 61,793.000 3,260,816.61 CARNIVAL PLC 204,338.000 11,019,436.68 CARPENTER TECHNOLOGY CORP 7,571.000 259,155.33 CARRIAGE SERVICES INC 5,426.000 117,255.86 CARRIZO OIL & GAS INC 7,375.000 228,035.00 CARTESIAN INC 1,461.000 2,965.83

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 18 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CASCADE BANCORP 2,279.000 13,013.09 CASCADE MICROTECH INC 564.000 11,629.68 CASELLA WASTE SYSTEMS INC 4,786.000 32,066.20 CASEY'S GENERAL STORES INC 7,474.000 846,953.68 CASH AMERICA INTERNATIONAL INC 4,638.000 179,212.32 CASH TECHNOLOGIES INC 787.000 1.37 CASI PHARMACEUTICALS INC 501.000 531.06 CASS INFORMATION SYSTEMS INC 2,557.000 133,858.95 CATALENT INC 11,700.000 312,039.00 CATALINA LIGHTING INC 910.000 0.91 CATALYST BIOSCIENCES INC 684.000 1,149.12 CATASYS INC 19.000 9.50 CATERPILLAR INC 79,849.000 6,111,642.46 CATHAY GENERAL BANCORP 10,216.000 289,419.28 CATO CORP/THE 6,386.000 246,180.30 CATSKILL LITIGATION TRUST 3,760.000 0.00 CAVCO INDUSTRIES INC 1,441.000 134,675.86 CAVIUM INC 9,143.000 559,185.88 CBIZ INC 18,419.000 185,847.71 CBRE GROUP INC 303,808.000 8,755,746.56 CBS CORP 108,050.000 5,952,474.50 CDI CORP 2,904.000 18,237.12 CEB INC 6,384.000 413,236.32 CECO ENVIRONMENTAL CORP 1,458.000 9,054.18 CEDAR REALTY TRUST INC 29,857.000 215,866.11 CEL-SCI CORP 643.000 340.66 CELADON GROUP INC 3,750.000 39,300.00 CELANESE CORP 82,095.000 5,377,222.50 CELGENE CORP 144,523.000 14,465,307.07 CELLDEX THERAPEUTICS INC 2,567.000 9,703.26 CELLULAR BIOMEDICINE GROUP INC 1,000.000 18,540.00 CEMEX SAB DE CV ADR 780,050.000 5,678,764.00 CENTENE CORP 69,785.000 4,296,662.45 CENTERPOINT ENERGY INC 123,182.000 2,576,967.44 CENTERSTATE BANKS INC 4,215.000 62,761.35 CENTRAL GARDEN & PET CO 7,421.000 121,044.59 CENTRAL PACIFIC FINANCIAL CORP 408.000 8,882.16 CENTRICA PLC 1,565,400.000 5,123,134.83 CENTRUE FINANCIAL CORP 17.000 291.04

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 19 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CENTRUS ENERGY CORP 453.000 2,043.03 CENTURY ALUMINUM CO 556.000 3,919.80 CENTURY BANCORP INC/MA 538.000 20,933.58 CENTURY CASINOS INC 297.000 1,829.52 CENTURYLINK INC 107,874.000 3,447,653.04 CENVEO INC 9,065.000 3,807.30 CEPHEID 9,810.000 327,261.60 CERBCO INC CL A 500.000 0.00 CERNER CORP 41,495.000 2,197,575.20 CERUS CORP 17,700.000 104,961.00 CESCA THERAPEUTICS INC 123.000 478.47 CEVA INC 1,633.000 36,742.50 CF BLACKROCK ACWI EX-US SUPERFUND A 53,594,327.190 1,146,108,362.83 CF INDUSTRIES HOLDINGS INC 31,961.000 1,001,657.74 CF WTC CTF EMERGING MKT EQTY FD 4,045,001.757 29,612,640.77 CH ROBINSON WORLDWIDE INC 19,642.000 1,458,025.66 CHAMPION ENTERPRISES INC 21,400.000 149.80 CHAMPION INDUSTRIES INC/WV 4,250.000 680.00 CHANNELL COMMERCIAL CORP 3,181.000 9.84 CHARLES & COLVARD LTD 1,139.000 1,309.85 CHARLES RIVER LABORATORIES INT 55,366.000 4,204,494.04 CHARLES SCHWAB CORP/THE 164,775.000 4,616,995.50 CHART INDUSTRIES INC 7,350.000 159,642.00 CHARTER COMMUNICATIONS INC 14,735.000 2,982,806.05 CHARTER COMMUNICATIONS INC DEL CL A 61,241.000 440.94 CHARTER FINANCIAL CORP/MD 2,744.000 37,044.00 CHASE CORP 1,782.000 93,715.38 CHATHAM LODGING TRUST 7,289.000 156,203.27 CHAZAK VALUE CORP COM 216.000 0.00 CHECK POINT SOFTWARE TECHNOLOG 110,000.000 9,621,700.00 CHECKPOINT SYSTEMS INC 7,620.000 77,114.40 CHEESECAKE FACTORY INC/THE 7,698.000 408,686.82 CHEMED CORP 4,085.000 553,313.25 CHEMICAL FINANCIAL CORP 3,961.000 141,368.09 CHEMOURS CO/THE 25,500.000 178,500.00 CHEMTURA CORP 17,492.000 461,788.80 CHEMTURA CORPORATION 1,269.000 0.00 CHENNAI SUPER KINGS CRICKET LTD 425,652.000 3.11 CHEROKEE INC 3,673.000 65,342.67

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 20 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CHESAPEAKE ENERGY CORP 70,949.000 292,309.88 CHESAPEAKE LODGING TRUST 6,443.000 170,481.78 CHESAPEAKE UTILITIES CORP 3,607.000 227,132.79 CHESTER BANCORP INC 84.000 1,520.40 CHEVRON CORP 263,294.000 25,118,247.60 CHICAGO RIVET & MACHINE CO 235.000 5,685.50 CHICO'S FAS INC 21,600.000 286,632.00 CHIEF CONSOLIDATED MINING CO 1,300.000 0.00 CHILDREN'S PLACE INC/THE 5,195.000 433,626.65 CHIMERIX INC 2,887.000 14,752.57 CHINA CGAME INC 1,663.000 41.58 CHINA COMMUNICATIONS SERVICES 14,116,000.000 6,442,379.67 CHINA MERCHANTS HOLDINGS PACIF 908,570.000 553,265.56 CHINA SKY ONE MEDICAL INC 581.000 33.67 CHIPOTLE MEXICAN GRILL INC 4,120.000 1,940,396.40 CHRISTOPHER & BANKS CORP 4,430.000 10,587.70 CHUBB LTD 95,191.000 11,342,007.65 CHURCH & DWIGHT CO INC 17,788.000 1,639,697.84 CHURCHILL DOWNS INC 2,422.000 358,165.36 CI FINANCIAL INC 325,000.000 7,211,334.03 CIBER INC 7,875.000 16,616.25 CIBL INC 22.000 0.00 CIE FINANCIERE RICHEMONT SA 101,510.000 6,736,240.27 CIENA CORP 16,810.000 319,726.20 CIFC CORP 541.000 3,841.10 CIGNA CORP 35,071.000 4,813,144.04 CIM COMMERCIAL TRUST CORP 430.000 7,740.00 CIMAREX ENERGY CO 13,002.000 1,264,704.54 CIMPRESS NV 5,167.000 468,595.23 CINCINNATI BELL INC 27,268.000 105,527.16 CINCINNATI FINANCIAL CORP 20,281.000 1,325,566.16 CINEMARK HOLDINGS INC 21,725.000 778,406.75 CINTAS CORP 12,010.000 1,078,618.10 CIPRICO INC 5,400.000 0.00 CIRCLE ENTERTAINMENT INC 8,246.000 9.07 CIRCOR INTERNATIONAL INC 2,531.000 117,413.09 CIRCUIT CITY STORES INC 21,085.000 0.00 CIRRUS LOGIC INC 9,997.000 363,990.77 CISCO SYSTEMS INC 855,212.000 24,347,885.64

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 21 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CIT GROUP INC 12,200.000 378,566.00 CITI TRENDS INC 3,834.000 68,360.22 CITIGROUP INC 490,450.000 20,476,287.50 CITIZENS & NORTHERN CORP 621.000 12,345.48 CITIZENS FINANCIAL GROUP INC 72,375.000 1,516,256.25 CITIZENS INC/TX 4,796.000 34,723.04 CITRIX SYSTEMS INC 58,514.000 4,598,030.12 CITY BANK/LYNNWOOD WA 1,072.000 24.66 CITY HOLDING CO 2,758.000 131,777.24 CITY OFFICE REIT INC 109,433.000 1,247,536.20 CIVEO CORP 7,789.000 9,580.47 CIVITAS SOLUTIONS INC 1,522.000 26,528.46 CLARCOR INC 7,527.000 434,985.33 CLAYTON WILLIAMS ENERGY INC 1,373.000 12,247.16 CLEAN ENERGY FUELS CORP 12,718.000 37,263.74 CLEARSTORY SYSTEMS INC 219.000 0.02 CLEARWATER PAPER CORP 3,413.000 165,564.63 CLECO CORP 11,791.000 650,981.11 CLEVELAND BIOLABS INC 57.000 144.21 CLIFTON BANCORP INC 2,303.000 34,821.36 CLOROX CO/THE 17,749.000 2,237,438.94 CLOUD PEAK ENERGY INC 7,570.000 14,761.50 CLOVIS ONCOLOGY INC 2,441.000 46,867.20 CLST HOLDINGS INC 3,920.000 235.20 CLUBCORP HOLDINGS INC 5,000.000 70,200.00 CME GROUP INC/IL 53,083.000 5,098,622.15 CMS ENERGY CORP 38,006.000 1,612,974.64 CNA FINANCIAL CORP 8,418.000 270,891.24 CNO FINANCIAL GROUP INC 45,098.000 808,156.16 COACH INC 38,078.000 1,526,547.02 COBIZ FINANCIAL INC 2,390.000 28,249.80 COCA-COLA BOTTLING CO CONSOLID 1,483.000 236,924.08 COCA-COLA CO/THE 534,300.000 24,786,177.00 COCA-COLA ENTERPRISES INC 119,439.000 6,060,334.86 COCHLEAR LTD 80,000.000 6,295,542.00 CODEXIS INC 1,109.000 3,448.99 CODORUS VALLEY BANCORP INC 2,015.000 40,743.30 COEUR MINING INC 14,079.000 79,123.98 COGENT COMMUNICATIONS HOLDINGS 12,151.000 474,253.53

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 22 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

COGENTIX MEDICAL INC 416.000 457.60 COGNEX CORP 13,481.000 525,084.95 COGNIZANT TECHNOLOGY SOLUTIONS 83,524.000 5,236,954.80 COHEN & STEERS INC 4,842.000 188,450.64 COHERENT INC 3,860.000 354,734.00 COHERUS BIOSCIENCES INC 2,302.000 48,871.46 COHU INC 4,688.000 55,693.44 COLDWATER CREEK INC 2,034.000 0.00 COLGATE-PALMOLIVE CO 159,214.000 11,248,469.10 COLLEGIUM PHARMACEUTICAL INC 1,900.000 34,485.00 COLOMBO BANK 495.000 173.25 COLONIAL BANCGROUP INC/THE 63,000.000 0.00 COLONY CAPITAL INC 85,488.000 1,433,633.76 COLONY STARWOOD HOMES 736.000 18,216.00 COLUMBIA BANKING SYSTEM INC 8,060.000 241,155.20 COLUMBIA PIPELINE GROUP INC 54,827.000 1,376,157.70 COLUMBIA PIPELINE PARTNERS LP 59,838.000 873,634.80 COLUMBIA SPORTSWEAR CO 5,952.000 357,655.68 COLUMBUS MCKINNON CORP/NY 3,783.000 59,620.08 COMARCO INC 3,575.000 321.75 COMBIMATRIX CORP 2.000 7.22 COMCAST CORP 459,510.000 28,066,870.80 COMDIAL CORP 222.000 0.44 COMERICA INC 23,979.000 908,084.73 COMFORT SYSTEMS USA INC 6,475.000 205,710.75 COMMERCIAL INTERNATIONAL BANK 282,625.000 1,221,532.50 COMMERCIAL METALS CO 18,135.000 307,750.95 COMMUNICATIONS SALES & LEASING 8,571.000 190,704.75 COMMUNICATIONS SYSTEMS INC 2,292.000 16,846.20 COMMUNITY BANK SYSTEM INC 4,185.000 159,908.85 COMMUNITY TRUST BANCORP INC 4,954.000 174,975.28 COMMUNITY WEST BANCSHARES 1,090.000 7,412.00 COMMUNITYONE BANCORP 107.000 1,420.96 COMMVAULT SYSTEMS INC 6,977.000 301,197.09 COMPASS DIVERSIFIED HOLDINGS 13,324.000 208,520.60 COMPASS GROUP PLC 550,097.000 9,709,236.25 COMPASS MINERALS INTERNATIONAL 9,315.000 660,060.90 COMPUTER PROGRAMS & SYSTEMS IN 2,386.000 124,358.32 COMPUTER SERVICES INC 2,152.000 81,776.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 23 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

COMPUTER TASK GROUP INC 6,561.000 33,526.71 COMPX INTERNATIONAL INC 1,221.000 12,820.50 COMSCORE INC 17,966.000 539,698.64 COMSTOCK RESOURCES INC 6,286.000 4,811.94 COMTECH TELECOMMUNICATIONS COR 4,368.000 102,080.16 COMTREX SYSTEMS CORP 367.000 587.20 CONAGRA FOODS INC 214,099.000 9,553,097.38 CONCERT PHARMACEUTICALS INC 2,378.000 32,483.48 CONCHO RESOURCES INC 17,708.000 1,789,216.32 CONCURRENT COMPUTER CORP 1,364.000 8,047.60 CONE MLS CORP N C 20,100.000 0.00 CONMED CORP 53,046.000 2,224,749.24 CONN'S INC 2,186.000 27,237.56 CONNECTICUT WATER SERVICE INC 3,111.000 140,306.10 CONNECTONE BANCORP INC 1,074.000 17,559.90 CONOCOPHILLIPS 169,510.000 6,826,167.70 CONRAD INDUSTRIES INC 2,224.000 42,589.60 CONSOL ENERGY INC 29,900.000 337,571.00 CONSOLIDATED COMMUNICATIONS HO 13,339.000 343,612.64 CONSOLIDATED EDISON INC 40,257.000 3,084,491.34 CONSOLIDATED FREIGHTWAYS CORP 15,004.000 10.50 CONSOLIDATED WATER CO LTD 4,366.000 53,134.22 CONSOLIDATED-TOMOKA LAND CO 3,205.000 147,878.70 CONSTELLATION BRANDS INC 44,408.000 6,709,604.72 CONSUMER PORTFOLIO SERVICES IN 4,856.000 20,540.88 CONTACT ENERGY LTD 588,293.000 2,042,259.15 CONTANGO OIL & GAS CO 3,143.000 37,055.97 CONTINENTAL INFORMATION SYSTEM 1,312.000 0.13 CONTINENTAL MATERIALS CORP 831.000 9,639.60 CONTRA DYAX CORPORATION 21,687.000 0.00 CONVERGYS CORP 16,674.000 463,036.98 COOPER COS INC/THE 9,600.000 1,478,112.00 COOPER TIRE & RUBBER CO 12,934.000 478,816.68 CORCEPT THERAPEUTICS INC 1,268.000 5,934.24 CORE-MARK HOLDING CO INC 200.000 16,312.00 CORELOGIC INC/UNITED STATES 42,168.000 1,463,229.60 CORESITE REALTY CORP 3,050.000 213,530.50 CORINTHIAN COLLEGES INC 11,399.000 14.82 CORNERSTONE ONDEMAND INC 6,016.000 197,144.32

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 24 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CORNING INC 194,364.000 4,060,263.96 CORNWALL RESOURCES INC 100.000 0.10 CORPBANCA SA 665,939,600.000 5,704,980.78 CORPORATE OFFICE PROPERTIES TR 12,973.000 340,411.52 CORUS BANKSHARES INC 10,586.000 190.55 CORVEL CORP 7,307.000 288,041.94 COSCO PACIFIC LTD 592,429.000 775,999.47 COSTCO WHOLESALE CORP 77,793.000 12,258,620.94 COUSINS PROPERTIES INC 26,926.000 279,491.88 COVANTA HOLDING CORP 16,731.000 282,084.66 COVENANT TRANSPORTATION GROUP 2,371.000 57,354.49 COVISINT CORP 5,432.000 10,864.00 COWEN GROUP INC 1,624.000 6,187.44 CPI AEROSTRUCTURES INC 1,261.000 9,243.13 CPI CORP 1,363.000 8.20 CR BARD INC 26,011.000 5,271,649.37 CRA INTERNATIONAL INC 4,612.000 90,579.68 CRACKER BARREL OLD COUNTRY STO 4,505.000 687,778.35 CRAFT BREW ALLIANCE INC 2,303.000 18,953.69 CRAWFORD & CO 8,449.000 54,749.52 CRAY INC 5,984.000 250,789.44 CRAZY WOMAN CREEK BANCORP INC 437.000 5,204.67 CREDIT SUISSE GROUP AG 493,449.000 7,012,834.42 CREXENDO INC 1,782.000 2,405.70 CRH PLC 191,114.000 5,407,575.69 CROCS INC 11,385.000 109,523.70 CROMBIE REAL ESTATE INVT TR UNIT 78,602.000 854,415.80 CROSS COUNTRY HEALTHCARE INC 7,209.000 83,840.67 CROSSROADS SYSTEMS INC 1,754.000 368.87 CROWN CASTLE INTERNATIONAL COR 45,767.000 3,958,845.50 CROWN CRAFTS INC 4,165.000 38,526.25 CROWN HOLDINGS INC 45,200.000 2,241,468.00 CROWN MEDIA HOLDINGS INC 9,654.000 49,042.32 CRYOLIFE INC 3,652.000 39,259.00 CSG SYSTEMS INTERNATIONAL INC 14,574.000 658,161.84 CSL LTD 90,000.000 7,022,944.80 CSP INC 1,105.000 6,630.00 CSRA INC 18,686.000 502,653.40 CSS INDUSTRIES INC 2,574.000 71,891.82

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 25 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CSX CORP 132,069.000 3,400,776.75 CTI BIOPHARMA CORP 5.000 2.66 CTI INDUSTRIES CORP 194.000 1,243.54 CTS CORP 5,419.000 85,295.06 CUBESMART 24,888.000 828,770.40 CUBIC CORP 4,124.000 164,795.04 CULP INC 3,445.000 90,327.90 CUMMINS INC 22,230.000 2,443,966.20 CUMULUS MEDIA INC 6,016.000 2,793.23 CURIS INC 10,227.000 16,465.47 CURTISS-WRIGHT CORP 7,175.000 542,932.25 CUSTOMERS BANCORP INC 1,800.000 42,534.00 CUTERA INC 4,192.000 47,160.00 CV HOLDINGS INC/UNITED STATES 5,499.000 769.86 CVB FINANCIAL CORP 17,205.000 300,227.25 CVENT INC 1,400.000 29,960.00 CVS HEALTH CORP 152,327.000 15,800,879.71 CYBERCARE INC COM 5,500.000 0.00 CYBEROPTICS CORP 2,077.000 19,378.41 CYNOSURE INC 4,693.000 207,055.16 CYPRESS SEMICONDUCTOR CORP 46,836.000 405,599.76 CYRUSONE INC 7,909.000 361,045.85 CYS INVESTMENTS INC 18,226.000 148,359.64 CYTOKINETICS INC 4,773.000 33,649.65 CYTORI THERAPEUTICS INC 1,225.000 261.05 DAIMLER AG 97,800.000 7,508,251.09 DAIWA HOUSE INDUSTRY CO LTD 616,500.000 17,365,888.29 DAKTRONICS INC 8,231.000 65,024.90 DAN RIV INC GA CL A 18,700.000 0.00 DANA HOLDING CORP 22,425.000 315,968.25 DANAHER CORP 81,975.000 7,776,148.50 DARDEN RESTAURANTS INC 57,625.000 3,820,537.50 DARLING INGREDIENTS INC 18,714.000 246,463.38 DASSAULT SYSTEMES 95,000.000 7,548,778.05 DATA I/O CORP 4,212.000 10,866.96 DATA TRANSLATION ESCROW CONTRA 1,837.000 0.00 DATALINK CORP 2,206.000 20,162.84 DATARAM CORP 435.000 320.16 DATATEC SYS INC COM 25,900.000 0.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 26 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

DATATRAK INTERNATIONAL INC 67.000 234.50 DATAWATCH CORP 2,915.000 14,429.25 DAVE & BUSTER'S ENTERTAINMENT 500.000 19,390.00 DAVITA HEALTHCARE PARTNERS INC 22,722.000 1,667,340.36 DAWSON GEOPHYSICAL CO 5,656.000 25,847.92 DAXOR CORP 2,106.000 16,616.34 DCT INDUSTRIAL TRUST INC 12,884.000 508,531.48 DEAN FOODS CO 16,228.000 281,068.96 DECKERS OUTDOOR CORP 5,508.000 329,984.28 DECORATOR INDUSTRIES INC 831.000 7.31 DEERE & CO 41,076.000 3,162,441.24 DELCATH SYSTEMS INC 186.000 53.48 DELEK US HOLDINGS INC 9,897.000 150,830.28 DELIA*S INC 3,437.000 1.72 DELPHAX TECHNOLOGIES INC 7,074.000 2,122.20 DELPHI AUTOMOTIVE PLC 183,056.000 13,732,861.12 DELTA AIR LINES INC 172,651.000 8,404,650.68 DELTA APPAREL INC 3,982.000 76,215.48 DELTA NATURAL GAS CO INC 2,783.000 64,426.45 DELTAGEN INC 13,680.000 205.20 DELTIC TIMBER CORP 1,791.000 107,728.65 DELUXE CORP 7,280.000 454,927.20 DEMANDWARE INC 5,212.000 203,789.20 DENBURY RESOURCES INC 42,400.000 94,128.00 DENNY'S CORP 11,569.000 119,854.84 DENTSPLY SIRONA INC 62,724.000 3,865,680.12 DEPOMED INC 7,337.000 102,204.41 DERMA SCIENCES INC 3,794.000 11,761.40 DESTINATION MATERNITY CORP 3,392.000 23,201.28 DESTINATION XL GROUP INC 5,521.000 28,543.57 DETERMINE INC 466.000 862.10 DETREX CORP 990.000 24,769.80 DEUTSCHE BANK AG 203,800.000 3,471,992.34 DEUTSCHE BOERSE AG 82,000.000 7,007,298.07 DEVON ENERGY CORP 223,623.000 6,136,215.12 DEVRY EDUCATION GROUP INC 9,299.000 160,593.73 DEX MEDIA INC 240.000 21.60 DHI GROUP INC 19,620.000 158,333.40 DHT HOLDINGS INC 1,263.000 7,274.88

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 27 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

DIADEXUS INC 148.000 223.48 DIAMOND HILL INVESTMENT GROUP 1,018.000 180,552.48 DIAMOND OFFSHORE DRILLING INC 8,839.000 192,071.47 DIAMOND RESORTS INTERNATIONAL 1,900.000 46,170.00 DIAMONDROCK HOSPITALITY CO 33,053.000 334,496.36 DICERNA PHARMACEUTICALS INC 3,201.000 17,157.36 DIEBOLD INC 9,805.000 283,462.55 DIFFERENTIAL BRANDS GROUP INC 44.000 214.72 DIGI INTERNATIONAL INC 5,914.000 55,769.02 DIGIMARC CORP 2,459.000 74,507.70 DIGITAL INFO SECURITY CO 709.000 1.13 DIGITAL REALTY TRUST INC 8,707.000 770,482.43 DIGITAL VIDEO SYSTEMS INC 319.000 0.00 DIGITALGLOBE INC 12,231.000 211,596.30 DIME COMMUNITY BANCSHARES INC 7,168.000 126,300.16 DINEEQUITY INC 2,836.000 264,967.48 DIODES INC 5,150.000 103,515.00 DIPLOMAT PHARMACY INC 5,438.000 149,001.20 DIRECT LINE INSURANCE GROUP PL 667,400.000 3,551,158.38 DISCOVER FINANCIAL SERVICES 56,796.000 2,892,052.32 DISCOVERY COMMUNICATIONS INC 53,214.000 1,470,325.03 DISCOVERY LABORATORIES INC 25.000 41.25 DIVERSICARE HEALTHCARE SERVICE 2,393.000 20,412.29 DIVINE INC 6,229.000 3.92 DIXIE GROUP INC/THE 1,616.000 6,803.36 DOLL TECHNOLOGY GROUP INC 1.000 0.00 DOLLAR GENERAL CORP 39,894.000 3,414,926.40 DOLLAR TREE INC 59,896.000 4,939,024.16 DOLLARAMA INC 165,000.000 11,658,239.60 DOMINION RESOURCES INC/VA 122,022.000 9,166,292.64 DOMTAR CORP 11,400.000 461,700.00 DON QUIJOTE HOLDINGS CO LTD 436,100.000 15,171,057.54 DONEGAL GROUP INC 7,738.000 103,831.24 DORAL FINANCIAL CORP 243.000 41.31 DORMAN PRODUCTS INC 8,151.000 443,577.42 DOVER CORP 21,255.000 1,367,334.15 DOVER DOWNS GAMING & ENTERTAIN 4,949.000 5,295.43 DOVER MOTORSPORTS INC 7,550.000 17,138.50 DOW CHEMICAL CO/THE 265,170.000 13,486,546.20

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 28 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

DR HORTON INC 51,926.000 1,569,722.98 DR PEPPER SNAPPLE GROUP INC 49,690.000 4,443,279.80 DREAMWORKS ANIMATION SKG INC 8,478.000 211,526.10 DREW INDUSTRIES INC 3,322.000 214,136.12 DRI CORP 787.000 0.48 DRIL-QUIP INC 3,200.000 193,792.00 DRIVER HARRIS CO COM PAR $0.83 1/3 100.000 0.00 DSP GROUP INC 3,239.000 29,539.68 DSV A/S 195,000.000 8,130,530.22 DSW INC 11,100.000 306,804.00 DTE ENERGY CO 85,105.000 7,715,619.30 DTS INC/CA 2,733.000 59,524.74 DUALSTAR TECHNOLOGIES CORP 3,937.000 7.87 DUCOMMUN INC 2,567.000 39,146.75 DUET GROUP 1,257,261.000 2,195,426.01 DUKE ENERGY CORP 126,092.000 10,173,102.56 DUN & BRADSTREET CORP/THE 4,960.000 511,276.80 DUPONT FABROS TECHNOLOGY INC 78,240.000 3,171,067.20 DURECT CORP 8,621.000 11,638.35 DYCOM INDUSTRIES INC 5,145.000 332,727.15 DYNACQ HEALTHCARE INC 16.000 1.12 DYNAMIC MATERIALS CORP 2,137.000 13,847.76 DYNAVAX TECHNOLOGIES CORP 3,562.000 68,532.88 DYNEGY INC 16,699.000 239,964.63 DYNEX CAPITAL INC 10,356.000 68,867.40 E*TRADE FINANCIAL CORP 340,266.000 8,333,114.34 EACO CORP 16.000 75.20 EAGLE BANCORP INC 4,200.000 201,600.00 EAGLE BULK SHIPPING INC 7.000 2.52 EAGLE BULK SHIPPING INC WT EXP 10/15/2021 103.000 1.95 EAGLE PHARMACEUTICALS INC/DE 1,000.000 40,500.00 EARTHCARE CO COM 12,400.000 0.00 EARTHLINK HOLDINGS CORP 21,820.000 123,719.40 EARTHSHELL CORP COM NEW 1,800.000 0.00 EAST WEST BANCORP INC 73,180.000 2,376,886.40 EASTERLY GOVERNMENT PROPERTIES 56,122.000 1,039,379.44 EASTERN CO/THE 935.000 15,352.70 EASTERN VIRGINIA BANKSHARES IN 106.000 709.14 EASTGROUP PROPERTIES INC 4,777.000 288,387.49

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 29 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

EASTMAN CHEMICAL CO 20,269.000 1,464,029.87 EASTMAN KODAK CO 1,380.000 14,973.00 EASYJET PLC 278,800.000 6,086,925.26 EATON CORP PLC 95,689.000 5,986,303.84 EBAY INC 256,696.000 6,124,766.56 EBIX INC 5,637.000 229,933.23 EBT INTL INC COM NEW 69.000 0.00 ECHELON CORP 902.000 5,096.30 ECOLAB INC 36,530.000 4,073,825.60 ECOLOGY AND ENVIRONMENT INC 332.000 3,333.28 EDCI HOLDINGS INC 1,189.000 564.78 EDGEWATER TECHNOLOGY INC 7,939.000 61,844.81 EDISON INTERNATIONAL 44,676.000 3,211,757.64 EDP - ENERGIAS DE PORTUGAL SA 21,858.000 77,863.30 EDUCATION HOLDINGS 1 INC 4,413.000 0.00 EDUCATION REALTY TRUST INC 6,770.000 281,632.00 EDUCATIONAL DEVELOPMENT CORP 1,007.000 14,128.21 EDWARDS LIFESCIENCES CORP 29,426.000 2,595,667.46 EGAIN CORP 1,880.000 6,674.00 EHEALTH INC 4,450.000 41,785.50 EI DU PONT DE NEMOURS & CO 119,526.000 7,568,386.32 EL PASO ELECTRIC CO 9,884.000 453,477.92 ELDORADO RESORTS INC 3,259.000 37,282.96 ELECTRO RENT CORP 4,045.000 37,456.70 ELECTRO SCIENTIFIC INDUSTRIES 3,680.000 26,312.00 ELECTRO-SENSORS INC 224.000 763.84 ELECTRONIC ARTS INC 42,413.000 2,803,923.43 ELECTRONIC TELE-COMMUNICATIONS 1,662.000 49.86 ELECTRONICS FOR IMAGING INC 6,723.000 284,987.97 ELI LILLY & CO 133,469.000 9,611,102.69 ELIOR GROUP 242,247.000 5,319,533.00 ELIZABETH ARDEN INC 2,936.000 24,045.84 ELLIE MAE INC 3,793.000 343,797.52 ELLINGTON RESIDENTIAL MORTGAGE 2,910.000 34,832.70 ELXSI CORP 3,025.000 51,425.00 EMAGIN CORP 6,943.000 12,497.40 EMAK WORLDWIDE INC 1,137.000 11.37 EMC CORP/MA 266,982.000 7,115,070.30 EMC INSURANCE GROUP INC 3,132.000 80,335.80

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 30 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

EMCOR GROUP INC 9,768.000 474,724.80 EMCORE CORP 1,466.000 7,330.00 EMERGENT BIOSOLUTIONS INC 9,269.000 336,928.15 EMERSON ELECTRIC CO 136,880.000 7,443,534.40 EMERSON RADIO CORP 6,016.000 5,053.44 EMISPHERE TECHNOLOGIES INC 6,412.000 3,847.20 EMPIRE CO LTD CL A NON-VTG 282,500.000 4,914,183.00 EMPIRE DISTRICT ELECTRIC CO/TH 6,687.000 221,005.35 EMPIRE RESORTS INC 117.000 1,597.05 EMPIRE RESOURCES INC 617.000 2,017.59 EMPIRE STATE REALTY TRUST INC 7,607.000 133,350.71 EMPLOYERS HOLDINGS INC 6,937.000 195,207.18 ENAGAS SA 13,978.000 420,754.77 ENANTA PHARMACEUTICALS INC 1,273.000 37,388.01 ENBRIDGE ENERGY MANAGEMENT LLC 297.000 5,331.15 ENBRIDGE ENERGY PARTNERS LP 93,960.000 1,721,347.20 ENBRIDGE INCOME FD HLDGS INC 42,730.000 977,856.12 ENCORE CAPITAL GROUP INC 3,849.000 99,073.26 ENCORE WIRE CORP 4,921.000 191,574.53 ENDEAVOUR INTERNATIONAL CORP 8,833.000 17.66 ENDESA SA 32,260.000 620,172.96 ENDO INTERNATIONAL PLC 28,031.000 789,072.65 ENDOCYTE INC 3,901.000 12,093.10 ENDOLOGIX INC 11,974.000 100,102.64 ENDURANCE INTERNATIONAL GROUP 9,950.000 104,773.50 ENDURANCE SPECIALTY HOLDINGS L 51,330.000 3,353,902.20 ENER1 INC 8,865.000 0.00 ENERGEN CORP 97,110.000 3,553,254.90 ENERGY CONVERSION DEVICES INC 3,568.000 0.00 ENERGY FOCUS INC 109.000 808.78 ENERGY RECOVERY INC 7,252.000 74,985.68 ENERGY TRANSFER EQUITY LP 345,941.000 2,466,559.33 ENERGY TRANSFER PARTNERS LP 93,378.000 3,019,844.52 ENERGY XXI LTD 13,334.000 8,305.75 ENERNOC INC 3,959.000 29,613.32 ENERSYS 9,020.000 502,594.40 ENGIE SA 37,145.000 577,361.89 ENGLOBAL CORP 4,822.000 4,966.66 ENHERENT CORP 9,218.000 10.14

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 31 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ENNIS INC 4,606.000 90,047.30 ENOVA INTERNATIONAL INC 4,243.000 26,773.33 ENPRO INDUSTRIES INC 2,964.000 170,963.52 ENSCO PLC 32,264.000 334,577.68 ENSIGN GROUP INC/THE 6,770.000 153,272.80 ENSTAR GROUP LTD 1,490.000 242,244.20 ENTEGRIS INC 29,290.000 398,929.80 ENTELLUS MEDICAL INC 1,200.000 21,828.00 ENTERCOM COMMUNICATIONS CORP 4,985.000 52,741.30 ENTERGY CORP 24,475.000 1,940,378.00 ENTERPRISE BANCORP INC/MA 538.000 14,117.12 ENTERPRISE FINANCIAL SERVICES 501.000 13,547.04 ENTERPRISE PRODUCTS PARTNERS L 443,853.000 10,927,660.86 ENTRADE INC COM 13,100.000 0.00 ENTRAVISION COMMUNICATIONS COR 9,591.000 71,357.04 ENTRPRIZE CORP 962.000 733.04 ENVESTNET INC 5,184.000 141,004.80 ENVIRONMENTAL TECHNOLOGIES INC 6,500.000 0.00 ENVIRONMENTAL TECTONICS CORP 2,343.000 1,288.65 ENVIT CAPITAL GROUP INC 290.000 0.03 ENZO BIOCHEM INC 5,053.000 22,991.15 ENZON PHARMACEUTICALS INC 10,765.000 5,059.55 EOG RESOURCES INC 114,400.000 8,303,152.00 EPAM SYSTEMS INC 5,446.000 406,652.82 EPIQ SYSTEMS INC 7,653.000 114,948.06 EPIRUS BIOPHARMACEUTICALS INC 80.000 215.20 EPIX PHARMACEUTICALS INC 6,452.000 0.00 EPIZYME INC 5,761.000 69,823.32 EPL TECHNOLOGIES INC 19,700.000 0.00 EPLUS INC 3,506.000 282,268.06 EPR PROPERTIES 41,706.000 2,778,453.72 EQT CORP 59,094.000 3,974,662.44 EQT GP HOLDINGS LP 18,884.000 509,301.48 EQT MIDSTREAM PARTNERS LP 57,474.000 4,277,789.82 EQUIFAX INC 16,278.000 1,860,412.62 EQUIFIN INC 394.000 2.56 EQUINIX INC 9,448.000 3,124,548.08 EQUITY COMMONWEALTH 11,400.000 321,708.00 EQUITY ONE INC 12,535.000 359,253.10

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 32 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

EQUITY RESIDENTIAL 79,924.000 5,996,697.72 ERA GROUP INC 2,425.000 22,746.50 ERBA DIAGNOSTICS INC 3,427.000 3,495.54 EROOMSYSTEM TECHNOLOGIES INC 3,225.000 167.70 ERSTE GROUP BANK AG 414,500.000 11,666,883.83 ESC CONCORD CAMERA CORP 3,480.000 0.00 ESC GLOBIX CORPORATION 33,000.000 0.00 ESCALADE INC 2,400.000 28,248.00 ESCALERA RESOURCES CO 9,249.000 60.12 ESCO TECHNOLOGIES INC 4,933.000 192,288.34 ESCROW AMBASSADORS GROUP INC 6,341.000 0.00 ESCROW CDC LIQUIDATING TRUST 331.000 0.00 ESCROW CHROMCRAFT REVINGTON 2,356.000 0.00 ESPEY MANUFACTURING & ELECTRON 355.000 8,733.00 ESSENDANT INC 11,513.000 367,610.09 ESSENT GROUP LTD 6,036.000 125,548.80 ESSEX PROPERTY TRUST INC 8,969.000 2,097,490.34 ESTEE LAUDER COS INC/THE 30,430.000 2,869,853.30 ESTERLINE TECHNOLOGIES CORP 4,864.000 311,636.48 ETHAN ALLEN INTERIORS INC 3,004.000 95,587.28 EUROBANCSHARES INC 3,146.000 0.00 EUROCOMMERCIAL PROPERTIES NV 24,350.000 1,141,276.99 EURONET WORLDWIDE INC 7,533.000 558,270.63 EUROPRIS ASA 571,479.000 2,687,687.23 EVANS & SUTHERLAND COMPUTER CO 4,156.000 3,574.58 EVERBANK FINANCIAL CORP 13,590.000 205,073.10 EVERCEL INC 2,662.000 3,300.88 EVERCORE PARTNERS INC 4,831.000 250,004.25 EVERGREEN ENERGY INC 1,552.000 2.33 EVERGREEN SOLAR INC 8,573.000 0.00 EVERI HOLDINGS INC 15,240.000 34,899.60 EVERSOURCE ENERGY 43,494.000 2,537,439.96 EVERTEC INC 7,150.000 99,957.00 EVINE LIVE INC 4,392.000 5,138.64 EVOLUTION PETROLEUM CORP 1,055.000 5,127.30 EVOLVING SYSTEMS INC 9,031.000 51,837.94 EW SCRIPPS CO/THE 7,775.000 121,212.25 EXACT SCIENCES CORP 14,343.000 96,671.82 EXACTECH INC 4,708.000 95,384.08

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 33 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

EXAMWORKS GROUP INC 5,183.000 153,209.48 EXAR CORP 20,336.000 116,932.00 EXELIXIS INC 19,833.000 79,332.00 EXELON CORP 377,017.000 13,519,829.62 EXLSERVICE HOLDINGS INC 5,004.000 259,207.20 EXPEDIA INC 16,248.000 1,751,859.36 EXPEDITORS INTERNATIONAL OF WA 24,970.000 1,218,785.70 EXPERIAN PLC 531,579.000 9,512,279.29 EXPONENT INC 10,334.000 527,137.34 EXPRESS INC 13,914.000 297,898.74 EXPRESS SCRIPTS HOLDING CO 98,603.000 6,773,040.07 EXTERRAN CORP 4,284.000 66,230.64 EXTRA SPACE STORAGE INC 17,148.000 1,602,652.08 EXTREME NETWORKS INC 13,886.000 43,185.46 EXXON MOBIL CORP 588,705.000 49,209,850.95 EZCORP INC 6,241.000 18,535.77 EZENIA! INC 5,456.000 163.68 F5 NETWORKS INC 9,428.000 997,953.80 FAB INDS INC COM 4,400.000 0.00 FABRINET 2,200.000 71,170.00 FACEBOOK INC 376,896.000 43,003,833.60 FACTORY 2-U STORES INC 5,731.000 16.05 FAIR ISAAC CORP 7,458.000 791,219.22 FAIRCHILD SEMICONDUCTOR INTERN 19,170.000 383,400.00 FAIRPOINT COMMUNICATIONS INC 34,126.000 22,706.88 FALCON PRODS INC 7,000.000 0.00 FALCONSTOR SOFTWARE INC 7,036.000 9,428.24 FAMOUS DAVE'S OF AMERICA INC 2,559.000 15,584.31 FANUC CORP 39,300.000 6,113,799.59 FARMER BROTHERS CO 2,498.000 69,619.26 FARMERS CAPITAL BANK CORP 2,686.000 70,964.12 FARO TECHNOLOGIES INC 2,781.000 89,576.01 FASTENAL CO 62,618.000 3,068,282.00 FBL FINANCIAL GROUP INC 4,689.000 288,467.28 FBR & CO 2,659.000 48,101.31 FCB FINANCIAL HOLDINGS INC 4,000.000 133,040.00 FEDDERS CORP COM NEW 23,100.000 9.24 FEDERAL AGRICULTURAL MORTGAGE 264.000 9,960.72 FEDERAL MOGUL CORP COM 2,400.000 0.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 34 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FEDERAL REALTY INVESTMENT TRUS 9,554.000 1,490,901.70 FEDERAL SCREW WORKS 815.000 4,075.00 FEDERAL SIGNAL CORP 12,329.000 163,482.54 FEDERATED NATIONAL HOLDING CO 1,141.000 22,432.06 FEDEX CORP 35,148.000 5,719,282.56 FEI CO 7,276.000 647,636.76 FELCOR LODGING TRUST INC 19,605.000 159,192.60 FERRO CORP 13,285.000 157,692.95 FERROGLOBE PLC 10,771.000 94,892.51 FFD FINANCIAL CORP 676.000 19,482.32 FIBERCORE INC 7,424.000 4.45 FIBERMARK INC COM 6,800.000 0.00 FIDELITY & GUARANTY LIFE 1,400.000 36,736.00 FIDELITY NATIONAL INFORMATION 37,858.000 2,396,789.98 FIDELITY SOUTHERN CORP 2,915.000 46,756.60 FIFTH THIRD BANCORP 107,397.000 1,792,455.93 FINANCIAL ENGINES INC 6,278.000 197,317.54 FINANCIAL INSTITUTIONS INC 840.000 24,418.80 FINISAR CORP 15,166.000 276,627.84 FINISH LINE INC/THE 8,132.000 171,585.20 FINLAY ENTERPRISES INC COM NEW 4,800.000 0.00 FINOVA GROUP INC COM 50,900.000 0.00 FIRST ACCEPTANCE CORP 6,609.000 11,896.20 FIRST AMERICAN FINANCIAL CORP 14,029.000 534,645.19 FIRST BANCORP INC/ME 2,482.000 48,423.82 FIRST BANCORP/PUERTO RICO 737.000 2,152.04 FIRST BANCORP/SOUTHERN PINES N 2,671.000 50,348.35 FIRST BUSEY CORP 1,470.000 30,105.60 FIRST BUSINESS FINANCIAL SERVI 1,306.000 29,946.58 FIRST CASH FINANCIAL SERVICES 4,725.000 217,633.50 FIRST CITIZENS BANCSHARES INC/ 1,853.000 465,232.71 FIRST COMMONWEALTH FINANCIAL C 17,071.000 151,249.06 FIRST COMMUNITY BANCSHARES INC 575.000 11,408.00 FIRST DEFIANCE FINANCIAL CORP 4,489.000 172,422.49 FIRST FINANCIAL BANCORP 12,811.000 232,903.98 FIRST FINANCIAL BANKSHARES INC 12,527.000 370,548.66 FIRST FINANCIAL CORP/IN 3,401.000 116,348.21 FIRST HORIZON NATIONAL CORP 16.932 221.80 FIRST HUMANICS G/O IL 5,000.000 0.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 35 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FIRST INDUSTRIAL REALTY TRUST 16,648.000 378,575.52 FIRST MARBLEHEAD CORP/THE 335.000 1,273.00 FIRST MARINER BANCORP 4,813.000 72.20 FIRST MERCHANTS CORP 8,473.000 199,708.61 FIRST MIDWEST BANCORP INC/IL 15,526.000 279,778.52 FIRST NBC BANK HOLDING CO 1,250.000 25,737.50 FIRST OF LONG ISLAND CORP/THE 3,933.000 112,090.50 FIRST PLACE FINANCIAL CORP/OH 5,949.000 0.44 FIRST POTOMAC REALTY TRUST 9,005.000 81,585.30 FIRST SOLAR INC 41,951.000 2,872,384.97 FIRST SOUTH BANCORP INC/WASHIN 711.000 5,865.75 FIRST STATE BANCORPORATION/NM 2,669.000 3.21 FIRST UNITED CORP 1,655.000 18,122.25 FIRST VIRTUAL COMMUNICATIONS INC COM NEW 2,780.000 0.00 FIRSTENERGY CORP 58,091.000 2,089,533.27 FIRSTMERIT CORP 24,260.000 510,673.00 FISCHER IMAGING CORP 5,800.000 0.00 FISERV INC 30,569.000 3,135,768.02 FIVE BELOW INC 8,291.000 342,749.94 FIVE OAKS INVESTMENT CORP 4,092.000 22,915.20 FIVE PRIME THERAPEUTICS INC 2,550.000 103,606.50 FIVE STAR QUALITY CARE INC 3,942.000 9,027.18 FLAGSTAR BANCORP INC 103.000 2,210.38 FLANIGAN'S ENTERPRISES INC 107.000 2,000.90 FLEETMATICS GROUP PLC 2,251.000 91,638.21 FLEETWOOD ENTERPRISES INC COM 17,000.000 0.00 FLEXION THERAPEUTICS INC 1,300.000 11,960.00 FLEXSTEEL INDUSTRIES INC 657.000 28,697.76 FLIR SYSTEMS INC 18,863.000 621,535.85 FLOTEK INDUSTRIES INC 7,702.000 56,455.66 FLOUR CITY INTL INC COM NEW 7,300.000 7.30 FLOWSERVE CORP 17,836.000 792,096.76 FLUIDIGM CORP 9,899.000 79,884.93 FLUOR CORP 25,149.000 1,350,501.30 FLUSHING FINANCIAL CORP 3,348.000 72,383.76 FLYI INC COM 29,300.000 87.90 FMC CORP 55,877.000 2,255,754.49 FMC TECHNOLOGIES INC 31,114.000 851,279.04 FNB CORP/PA 37,982.000 494,145.82

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 36 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FOAMEX INTL INC COM NEW 9,459.000 37.84 FOCUS ENHANCEMENTS INC 19,974.000 15.98 FOOTBALL EQUITIES INC 5,500.000 0.55 FOOTSTAR INC 18,000.000 25,500.00 FORD MOTOR CO 553,892.000 7,477,542.00 FORESTAR GROUP INC 4,482.000 58,445.28 FORMFACTOR INC 6,813.000 49,530.51 FORRESTER RESEARCH INC 3,231.000 108,593.91 FORTUNE REAL ESTATE INVESTMENT 120,707.000 129,319.76 FORUM ENERGY TECHNOLOGIES INC 8,436.000 111,355.20 FORWARD AIR CORP 4,409.000 199,815.88 FOUNTAIN PWR BOAT INDS INC COM NEW 3,800.000 95.00 FOUR CORNERS PROPERTY TRUST IN 15,853.000 284,561.35 FRANCESCA'S HOLDINGS CORP 5,572.000 106,759.52 FRANKFORT TOWER INDUSTRIES INC COM ESCROW 61,300.000 0.00 FRANKLIN COVEY CO 6,978.000 122,743.02 FRANKLIN ELECTRIC CO INC 7,387.000 237,639.79 FRANKLIN FINANCIAL NETWORK INC 1,250.000 33,750.00 FRANKLIN RESOURCES INC 51,197.000 1,999,242.85 FRANKLIN STREET PROPERTIES COR 11,762.000 124,794.82 FRASERS CENTREPOINT TRUST 1,501,713.000 2,230,377.25 FRED'S INC 4,429.000 66,036.39 FREEPORT-MCMORAN INC 171,656.000 1,774,923.04 FREIGHTCAR AMERICA INC 836.000 13,024.88 FREQUENCY ELECTRONICS INC 3,548.000 35,409.04 FRESENIUS MEDICAL CARE AG & CO 135,310.000 12,002,345.01 FRESENIUS SE & CO KGAA 69,571.000 5,090,545.23 FRESH CHOICE INC 6,600.000 0.00 FRESH MARKET INC/THE 4,766.000 135,973.98 FRIEDMAN INDUSTRIES INC 3,017.000 16,352.14 FRIEDMANS INC CL A 10,900.000 0.00 FRONTIER COMMUNICATIONS CORP 160,182.000 895,417.38 FRONTIER FINANCIAL CORP 607.000 16.33 FRONTIER INS GROUP INC NEW 46,400.000 0.00 FRONTLINE CAP GROUP COM 30,400.000 3.04 FRP HOLDINGS INC 3,843.000 136,810.80 FTD COS INC 2,823.000 74,103.75 FTI CONSULTING INC 5,705.000 202,584.55 FUBON FINANCIAL HOLDING CO LTD 3,572,000.000 4,550,459.89

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 37 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FUBON FINANCIAL-PFD RTS EXP 04/13/2016 157,070.000 0.00 FUEL SYSTEMS SOLUTIONS INC 5,534.000 30,603.02 FUEL TECH INC 2,912.000 5,096.00 FUELCELL ENERGY INC 566.000 3,831.82 FULTON FINANCIAL CORP 26,946.000 360,537.48 FUQI INTERNATIONAL INC 2,793.000 0.00 FUTUREFUEL CORP 2,728.000 32,163.12 FVNB CORP COM 3,600.000 0.00 G&K SERVICES INC 3,621.000 265,238.25 G-III APPAREL GROUP LTD 5,878.000 287,375.42 GA EXPRESS INC 1,881.000 0.00 GABS 114A AELTUS CBO 8,180.000 851.20 GAIAM INC 1,286.000 8,230.40 GAINSCO INC 435.000 5,655.00 GALENA BIOPHARMA INC 306.000 416.16 GAM HOLDING AG 9,324.000 135,335.04 GAMCO INVESTORS INC 3,055.000 113,218.30 GAMESTOP CORP 14,352.000 455,388.96 GAMETECH INTERNATIONAL INC 4,418.000 20.59 GAMING AND LEISURE PROPERTIES 57,487.000 1,777,498.04 GAMING PARTNERS INTERNATIONAL 224.000 2,206.40 GAP INC/THE 31,030.000 912,282.00 GARGOYLES INC 187.000 0.01 GARMIN LTD 16,130.000 644,554.80 GAS NATURAL INC 2,697.000 21,063.57 GASTAR EXPLORATION INC 3,378.000 3,715.80 GEA GROUP AG 125,000.000 6,125,081.25 GENERAC HOLDINGS INC 9,417.000 350,689.08 GENERAL BEARING CORP ESCROW 2,162.000 0.00 GENERAL CABLE CORP 7,538.000 92,038.98 GENERAL COMMUNICATION INC 8,184.000 149,930.88 GENERAL DATACOMM INDUSTRIES IN 1,255.000 37.65 GENERAL DYNAMICS CORP 40,107.000 5,268,856.59 GENERAL ELECTRIC CO 1,419,527.000 45,126,763.33 GENERAL GROWTH PROPERTIES INC 79,857.000 2,374,148.61 GENERAL MILLS INC 140,660.000 8,910,811.00 GENERAL MOLY INC 5,187.000 1,762.02 GENERAL MOTORS CO 235,423.000 7,399,344.89 GENERAL STEEL HOLDINGS INC 1,145.000 1,912.15

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 38 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

GENESCO INC 3,551.000 256,559.75 GENESIS ENERGY LP 60,070.000 1,909,625.30 GENESIS HEALTHCARE INC 3,485.000 8,085.20 GENESIS WORLDWIDE INC 6,900.000 0.00 GENIE ENERGY LTD 2,200.000 16,742.00 GENMARK DIAGNOSTICS INC 4,219.000 22,234.13 GENOMIC HEALTH INC 6,269.000 155,283.13 GENTHERM INC 6,045.000 251,411.55 GENUINE PARTS CO 20,502.000 2,037,078.72 GENVEC INC 660.000 532.16 GEO GROUP INC/THE 42,786.000 1,483,390.62 GEOGLOBAL RESOURCES INC 2,056.000 25.70 GEOMET INC 8,674.000 143.12 GEOPETRO RESOURCES CO 1,269.000 19.04 GEOSPACE TECHNOLOGIES CORP 2,901.000 35,798.34 GERBER SCIENTIFIC INC COM ESCROW 6,368.000 0.00 GERMAN AMERICAN BANCORP INC 866.000 27,885.20 GERON CORP 9,065.000 26,469.80 GETTY REALTY CORP 5,488.000 108,827.04 GIBRALTAR INDUSTRIES INC 3,680.000 105,248.00 GIGA-TRONICS INC 1,580.000 2,306.80 GIGAMON INC 1,900.000 58,938.00 GILEAD SCIENCES INC 233,224.000 21,423,956.64 GLACIER BANCORP INC 11,534.000 293,194.28 GLACIER WATER SERVICES INC 366.000 4,483.50 GLADSTONE COMMERCIAL CORP 4,773.000 78,181.74 GLAXOSMITHKLINE PLC 333,000.000 6,758,127.11 GLEACHER & CO INC 482.000 819.40 GLOBAL INDEMNITY PLC 965.000 30,040.45 GLOBAL PAYMENTS INC 49,605.000 3,239,206.50 GLOBAL SOURCES LTD 2,603.000 21,084.30 GLOBAL TECHNOLOGIES LTD 4,068.000 0.41 GLOBALSTAR INC 52,902.000 77,765.94 GLOBANT SA 1,400.000 43,204.00 GLOBUS MEDICAL INC 92,266.000 2,191,317.50 GLOWPOINT INC 1,539.000 584.82 GN STORE NORD A/S 480,000.000 10,050,856.94 GODADDY INC 1,500.000 48,495.00 GOLAR LNG LTD 12,212.000 219,449.64

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 39 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

GOLDEN ENTERPRISES INC 10,480.000 52,924.00 GOLDEN OCEAN GROUP LTD 2,706.000 1,880.67 GOLDFIELD CORP/THE 2,686.000 4,566.20 GOLDMAN SACHS GROUP INC/THE 76,310.000 11,979,143.80 GOODRICH PETROLEUM CORP 2,952.000 292.25 GOODYEAR TIRE & RUBBER CO/THE 36,617.000 1,207,628.66 GORMAN-RUPP CO/THE 7,202.000 186,747.86 GOVERNMENT PROPERTIES INCOME T 8,672.000 154,795.20 GP STRATEGIES CORP 2,137.000 58,553.80 GRAHAM CORP 3,946.000 78,564.86 GRAMERCY PROPERTY TRUST 44,420.000 375,349.00 GRAN TIERRA ENERGY INC 45,151.000 111,522.97 GRAND CANYON EDUCATION INC 7,019.000 299,992.06 GRANITE BROADCASTING CORP 70.000 0.00 GRANITE CONSTRUCTION INC 4,969.000 237,518.20 GRAPHIC PACKAGING HOLDING CO 16,791.000 215,764.35 GRAY TELEVISION INC 11,442.000 131,456.14 GREAT AMERICAN BANCORP INC 144.000 1,440.00 GREAT LAKES DREDGE & DOCK CORP 14,627.000 65,236.42 GREAT SOUTHERN BANCORP INC 2,480.000 92,082.40 GREAT WALL MOTOR CO LTD 5,775,000.000 4,690,551.86 GREAT WESTERN BANCORP INC 5,800.000 158,166.00 GREATBATCH INC 4,063.000 144,805.32 GREATER ATLANTIC FINANCIAL COR 1,312.000 0.00 GREEN BRICK PARTNERS INC 188.000 1,426.92 GREEN DOT CORP 2,900.000 66,613.00 GREEN PLAINS INC 3,401.000 54,279.96 GREENBRIER COS INC/THE 5,943.000 164,264.52 GREENHILL & CO INC 4,019.000 89,221.80 GREENHUNTER RESOURCES INC 1,231.000 6.16 GREENLIGHT CAPITAL RE LTD 3,696.000 80,535.84 GREIF INC 3,937.000 128,936.75 GRIFFIN INDUSTRIAL REALTY INC 760.000 18,665.60 GRIFFON CORP 10,987.000 169,749.15 GROUP 1 AUTOMOTIVE INC 2,877.000 168,851.13 GROUPON INC 49,462.000 197,353.38 GRUBHUB INC 4,100.000 103,033.00 GSE SYSTEMS INC 3,099.000 8,305.32 GSV INC 770.000 3.85

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 40 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

GT ADVANCED TECHNOLOGIES INC 8,807.000 189.35 GTX INC 16,768.000 8,384.00 GUARANTY BANCORP 1,106.000 17,098.76 GUESS? INC 10,571.000 198,417.67 GUIDED THERAPEUTICS INC 19.000 1.90 GUIDEWIRE SOFTWARE INC 11,211.000 610,775.28 GULF ISLAND FABRICATION INC 2,372.000 18,620.20 GULFMARK OFFSHORE INC 8,251.000 50,908.67 GYRODYNE CO AMER INC 7,623.000 0.00 GYRODYNE LLC 1,409.000 37,930.28 H&E EQUIPMENT SERVICES INC 2,304.000 40,389.12 H&R BLOCK INC 32,354.000 854,792.68 HACKETT GROUP INC/THE 8,707.000 131,649.84 HAEMONETICS CORP 7,287.000 254,899.26 HAFSLUND ASA 3,085.000 24,616.59 HALCON RESOURCES CORP 7,142.000 6,864.18 HALLADOR ENERGY CO 2,855.000 13,047.35 HALLIBURTON CO 117,697.000 4,204,136.84 HALLMARK FINANCIAL SERVICES IN 1,210.000 13,915.00 HALOZYME THERAPEUTICS INC 14,693.000 139,142.71 HALYARD HEALTH INC 7,300.000 209,729.00 HAMPSHIRE GROUP LTD 2,587.000 517.40 HANCOCK FABRICS INC 3,981.000 22.29 HANCOCK HOLDING CO 11,849.000 272,053.04 HANDLEMAN CO DEL COM 6,680.000 0.00 HANDY & HARMAN LTD 690.000 18,871.50 HANESBRANDS INC 53,706.000 1,522,028.04 HANGER INC 6,395.000 41,567.50 HANMI FINANCIAL CORP 2,627.000 57,846.54 HANOVER INSURANCE GROUP INC/TH 6,463.000 583,091.86 HANSEN MEDICAL INC 208.000 542.88 HARBOR DIVERSIFIED INC 1,094.000 54.70 HARBOURTON CAPITAL GROUP INC 233.000 4.66 HARDINGE INC 3,091.000 38,544.77 HARLEY-DAVIDSON INC 25,234.000 1,295,261.22 HARMAN INTERNATIONAL INDUSTRIE 9,755.000 868,585.20 HARMONIC INC 10,279.000 33,612.33 HARRIS & HARRIS GROUP INC 2,009.000 3,314.85 HARRIS CORP 17,093.000 1,330,860.98

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 41 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

HARSCO CORP 12,384.000 67,492.80 HARTE-HANKS INC 7,443.000 18,830.79 HARTFORD FINANCIAL SERVICES GR 167,793.000 7,731,901.44 HARVARD APPARATUS REGENERATIVE 1,384.000 2,491.20 HARVARD BIOSCIENCE INC 11,047.000 33,361.94 HARVEST NATURAL RESOURCES INC 6,874.000 4,145.02 HASBRO INC 23,401.000 1,874,420.10 HASTINGS MANUFACTURING CO 262.000 0.16 HATTERAS FINANCIAL CORP 14,863.000 212,540.90 HAUPPAUGE DIGITAL INC 3,900.000 241.80 HAVERTY FURNITURE COS INC 2,817.000 59,607.72 HAWAIIAN HOLDINGS INC 8,405.000 396,631.95 HAWAIIAN TELCOM HOLDCO INC 1,950.000 45,922.50 HAWKINS INC 3,278.000 118,303.02 HAYDEN HALL INC 1.000 0.00 HAYNES INTERNATIONAL INC 2,380.000 86,870.00 HB FULLER CO 9,903.000 420,382.35 HC2 HOLDINGS INC 340.000 1,298.80 HCA HOLDINGS INC 49,612.000 3,872,216.60 HCP INC 63,834.000 2,079,711.72 HD SUPPLY HOLDINGS INC 75,580.000 2,499,430.60 HDFC BANK LTD ADR 126,170.000 7,775,857.10 HEADWATERS INC 10,532.000 208,954.88 HEALTHCARE REALTY TRUST INC 14,137.000 436,691.93 HEALTHCARE SERVICES GROUP INC 12,307.000 453,020.67 HEALTHEQUITY INC 5,750.000 141,852.50 HEALTHSOUTH CORP 15,877.000 597,451.51 HEALTHSTREAM INC 3,521.000 77,778.89 HEALTHWAREHOUSE.COM INC 409.000 89.98 HEALTHWATCH INC COM PAR $0.05 2,100.000 0.00 HEALTHWAYS INC 5,971.000 60,247.39 HEARTLAND EXPRESS INC 14,601.000 270,848.55 HEARTLAND FINANCIAL USA INC 938.000 28,881.02 HEARTLAND PAYMENT SYSTEMS INC 8,837.000 853,389.09 HEARTWARE INTERNATIONAL INC 2,993.000 94,040.06 HECLA MINING CO 38,225.000 106,265.50 HEDGEPATH PHARMACEUTICALS INC 1,225.000 183.75 HEICO CORP 10,599.000 637,317.87 HEIDRICK & STRUGGLES INTERNATI 1,782.000 42,233.40

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 42 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

HELEN OF TROY LTD 5,024.000 520,938.56 HELICOS BIOSCIENCES CORP 297.000 0.59 HELIOS & MATHESON ANALYTICS IN 175.000 240.25 HELIX ENERGY SOLUTIONS GROUP I 16,756.000 93,833.60 HELM CAP GROUP INC COM 600.000 0.00 HELMERICH & PAYNE INC 14,811.000 869,701.92 HEMACARE CORP 437.000 222.87 HEMISPHERX BIOPHARMA INC 6,255.000 832.54 HENRY SCHEIN INC 11,236.000 1,939,670.68 HERCULES OFFSHORE INC 53.000 127.20 HERCULES OFFSHORE INC WTS EXP 11/08/2021 427.000 0.00 HERITAGE COMMERCE CORP 1,993.000 19,949.93 HERITAGE FINANCIAL CORP/WA 4,289.000 75,357.73 HERMAN MILLER INC 6,772.000 209,187.08 HERON THERAPEUTICS INC 2,389.000 45,343.22 HERSHA HOSPITALITY TRUST 6,388.000 136,319.92 HERSHEY CO/THE 19,667.000 1,811,134.03 HERTZ GLOBAL HOLDINGS INC 154,240.000 1,624,147.20 HESKA CORP 2,747.000 78,289.50 HESS CORP 120,325.000 6,335,111.25 HEWLETT PACKARD ENTERPRISE CO 235,378.000 4,173,251.94 HF FINANCIAL CORP 1,794.000 32,292.00 HFF INC 5,321.000 146,487.13 HHGREGG INC 6,709.000 14,155.99 HIBBETT SPORTS INC 4,043.000 145,143.70 HIGHWOODS PROPERTIES INC 13,359.000 638,693.79 HIKMA PHARMACEUTICALS PLC 310,000.000 8,822,147.40 HILL INTERNATIONAL INC 5,108.000 17,213.96 HILL-ROM HOLDINGS INC 9,512.000 478,453.60 HILLENBRAND INC 7,241.000 216,867.95 HILLTOP HOLDINGS INC 10,790.000 203,715.20 HINES HORTICULTURE INC COM 21,200.000 0.00 HINGHAM INSTITUTION FOR SAVING 146.000 17,390.06 HISPANIC EXPRESS INC 200.000 20.00 HK ELECTRIC INVESTMENTS & HK E 1,496,503.000 1,317,739.91 HKBN LTD 1,578,485.000 1,949,563.44 HKN INC 44.000 836.00 HMN FINANCIAL INC 1,557.000 17,531.82 HMS HOLDINGS CORP 13,557.000 194,542.95

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 43 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

HNI CORP 8,529.000 334,080.93 HOLLYSYS AUTOMATION TECHNOLOGI 5,652.000 118,974.60 HOLLYWOOD MEDIA CORP 3,839.000 2,495.35 HOLOGIC INC 56,500.000 1,949,250.00 HOLOGRAPHIC STORAGE LTD 43.000 2.15 HOME BANCSHARES INC/AR 8,989.000 368,099.55 HOME DEPOT INC/THE 229,314.000 30,597,367.02 HOMEBANC CORP GA COM 25,900.000 0.00 HOMESTREET INC 561.000 11,674.41 HON HAI PRECISION INDUSTRY CO 2,956,000.000 7,788,615.52 HONEYWELL INTERNATIONAL INC 105,491.000 11,820,266.55 HOOPER HOLMES INC 12,323.000 1,701.81 HOPEWELL HIGHWAY INFRASTRUCTUR 4,761,054.000 2,338,619.07 HOPFED BANCORP INC 1,685.000 19,293.25 HORACE MANN EDUCATORS CORP 9,407.000 298,107.83 HORIZON BANCORP/IN 1,254.000 30,998.88 HORMEL FOODS CORP 37,058.000 1,602,387.92 HORNBECK OFFSHORE SERVICES INC 5,469.000 54,307.17 HORSEHEAD HOLDING CORP 7,174.000 1,068.93 HORTONWORKS INC 2,300.000 25,990.00 HOST HOTELS & RESORTS INC 103,154.000 1,722,671.80 HOUGHTON MIFFLIN HARCOURT CO 18,991.000 378,680.54 HOUSTON AMERICAN ENERGY CORP 3,012.000 632.52 HOUSTON WIRE & CABLE CO 863.000 6,032.37 HOVNANIAN ENTERPRISES INC 7,375.000 11,505.00 HP INC 236,762.000 2,916,907.84 HRG GROUP INC 4,021.000 56,012.53 HSN INC 12,076.000 631,695.56 HUANENG POWER INTERNATIONAL IN 5,806,000.000 5,194,788.91 HUDSON GLOBAL INC 643.000 1,523.91 HUDSON PACIFIC PROPERTIES INC 5,516.000 159,522.72 HUFFY CORP COM 5,000.000 0.00 HUMANA INC 20,336.000 3,720,471.20 HUNTINGTON BANCSHARES INC/OH 109,015.000 1,040,003.10 HUNTINGTON INGALLS INDUSTRIES 1,600.000 219,104.00 HURCO COS INC 1,536.000 50,672.64 HURON CONSULTING GROUP INC 3,382.000 196,798.58 HUTCHINSON TECHNOLOGY INC 3,405.000 12,462.30 HUTCHISON PORT HOLDINGS TRUST 3,714,608.000 1,857,304.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 44 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

HUTTIG BUILDING PRODUCTS INC 2,331.000 8,578.08 HYBRID ENERGY HOLDINGS INC 141.000 0.01 HYCROFT MNG CORP 659.000 0.00 HYPERDYNAMICS CORP 459.000 257.04 HYPERFEED TECHNOLOGIES INC 206.000 0.21 HYSTER-YALE MATERIALS HANDLING 1,613.000 107,425.80 IAC/INTERACTIVECORP 18,400.000 866,272.00 IBERIABANK CORP 4,627.000 237,226.29 ICAD INC 1,373.000 7,002.30 ICF INTERNATIONAL INC 1,668.000 57,329.16 ICONIX BRAND GROUP INC 10,074.000 81,095.70 ICTC GROUP INC 1.000 22.00 ICU MEDICAL INC 1,922.000 200,080.20 ID SYSTEMS INC 2,263.000 9,821.42 IDACORP INC 8,409.000 627,227.31 IDENTIV INC 411.000 887.76 IDERA PHARMACEUTICALS INC 11,370.000 22,512.60 IDNA INC 2,887.000 0.00 IDT CORP 5,962.000 92,947.58 IEC ELECTRONICS CORP 3,326.000 14,967.00 IENTERTAINMENT NETWORK INC 831.000 29.09 IGNYTA INC 1,300.000 8,801.00 IGO CORPORATIONS 26,400.000 0.00 II-VI INC 10,699.000 232,275.29 ILIAD SA 25,425.000 6,552,257.24 ILLINOIS TOOL WORKS INC 44,893.000 4,598,838.92 ILLUMINA INC 20,157.000 3,267,651.27 IMAGEWARE SYSTEMS INC 1,281.000 1,857.45 IMAGINON INC 667.000 0.67 IMATION CORP 9,196.000 14,253.80 IMAX CORP 5,300.000 164,777.00 IMMERSION CORP 3,344.000 27,621.44 IMMUNE DESIGN CORP 1,150.000 14,950.00 IMMUNE PHARMACEUTICALS INC 10.000 4.30 IMMUNOGEN INC 14,977.000 127,604.04 IMMUNOMEDICS INC 12,908.000 32,270.00 IMPAC MORTGAGE HOLDINGS INC 681.000 9,418.23 IMPATH INC COM 18,800.000 0.00 IMPAX LABORATORIES INC 15,856.000 507,709.12

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 45 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

IMPERVA INC 44,197.000 2,231,948.50 INC RESEARCH HOLDINGS INC 1,450.000 59,754.50 INCOMNET INC 300.000 0.00 INDEPENDENCE HOLDING CO 3,228.000 51,389.76 INDEPENDENCE REALTY TRUST INC 61,662.000 439,033.44 INDEPENDENT BANK CORP/MI 185.000 2,691.75 INDEPENDENT BANK CORP/ROCKLAND 6,666.000 306,369.36 INDYMAC BANCORP INC 25,800.000 260.58 INFINERA CORP 18,385.000 295,263.10 INFINITY ENERGY RESOURCES INC 204.000 16.83 INFINITY PHARMACEUTICALS INC 10,324.000 54,407.48 INFINITY PROPERTY & CASUALTY C 2,455.000 197,627.50 INFOBLOX INC 8,500.000 145,350.00 INFORMA PLC 1,212,743.000 12,096,944.07 INFRATIL LTD 847,809.000 1,930,718.82 ING GROEP NV 460,100.000 5,573,382.94 INGERSOLL-RAND PLC 35,219.000 2,183,930.19 INGLES MARKETS INC 9,649.000 361,837.50 INGREDION INC 9,400.000 1,003,826.00 INLAND REAL ESTATE CORP 136,499.000 1,446,889.40 INNERWORKINGS INC 876.000 6,964.20 INNODATA INC 5,036.000 11,381.36 INNOPHOS HOLDINGS INC 2,682.000 82,900.62 INNOSPEC INC 3,343.000 144,952.48 INNOVATIVE SOLUTIONS & SUPPORT 3,306.000 8,694.78 INNOVEX INC/MN 8,343.000 31.37 INNOVIVA INC 11,499.000 144,772.41 INNVEST REIT TRUST UNIT 107,583.000 435,006.45 INOGEN INC 1,700.000 76,466.00 INOVIO PHARMACEUTICALS INC 9,851.000 85,802.21 INPLAY TECHNOLOGIES INC COM 6,200.000 0.00 INSIGHT ENTERPRISES INC 5,777.000 165,453.28 INSIGNIA SYSTEMS INC 2,476.000 7,056.60 INSMED INC 10,357.000 131,223.19 INSPERITY INC 4,783.000 247,424.59 INSTEEL INDUSTRIES INC 4,371.000 133,621.47 INSTITUTIONAL FINANCIAL MARKET 376.000 319.56 INSULET CORP 9,462.000 313,759.92 INSYS THERAPEUTICS INC 2,000.000 31,980.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 46 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

INTEGRA BANK CORP 2,671.000 0.02 INTEGRA LIFESCIENCES HOLDINGS 3,529.000 237,713.44 INTEGRAL VISION INC 4,289.000 3.86 INTEGRATED DEVICE TECHNOLOGY I 84,969.000 1,736,766.36 INTEGRATED ELECTRICAL SERVICES 280.000 4,107.60 INTEL CORP 824,329.000 26,667,043.15 INTELIQUENT INC 3,970.000 63,718.50 INTELLICHECK MOBILISA INC 176.000 281.60 INTER PARFUMS INC 4,245.000 131,170.50 INTERACTIVE INTELLIGENCE GROUP 3,930.000 143,130.60 INTERCONTINENTAL EXCHANGE INC 16,302.000 3,833,252.28 INTERDIGITAL INC/PA 6,937.000 386,044.05 INTEREP NATIONAL RADIO SALES I 3,193.000 0.00 INTERFACE INC 9,284.000 172,125.36 INTERLINK ELECTRONICS INC 629.000 5,346.50 INTERMET CORP 20,500.000 0.00 INTERNAP CORP 6,360.000 17,362.80 INTERNATIONAL BANCSHARES CORP 8,579.000 211,558.14 INTERNATIONAL BUSINESS MACHINE 135,217.000 20,478,614.65 INTERNATIONAL CONSOLIDATED AIR 790,120.000 6,285,764.50 INTERNATIONAL FLAVORS & FRAGRA 10,952.000 1,246,009.04 INTERNATIONAL ISOTOPES INC 831.000 62.33 INTERNATIONAL PAPER CO 160,944.000 6,605,141.76 INTERNATIONAL SHIPHOLDING CORP 3,160.000 6,478.00 INTERNATIONAL SPEEDWAY CORP 4,181.000 154,320.71 INTERNET AMERICA INC 2,581.000 103.24 INTERPACE DIAGNOSTICS GROUP IN 3,697.000 924.25 INTERPHASE CORP 1,377.000 4.55 INTERPLAY ENTERTAINMENT CORP 12,923.000 155.08 INTERPUBLIC GROUP OF COS INC/T 55,141.000 1,265,485.95 INTERSECT ENT INC 3,904.000 74,176.00 INTERSIL CORP 19,153.000 256,075.61 INTERVAL LEISURE GROUP INC 11,143.000 160,904.92 INTERVISUAL BOOKS INC 5,600.000 5.60 INTESA SANPAOLO SPA 4,976,825.000 13,804,043.82 INTEST CORP 1,660.000 6,474.00 INTEVAC INC 2,448.000 11,016.00 INTL. FCSTONE INC 3,648.000 97,511.04 INTRA-CELLULAR THERAPIES INC 1,900.000 52,820.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 47 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

INTREPID POTASH INC 8,171.000 9,069.81 INTRICON CORP 2,607.000 16,606.59 INTRUSION INC 1,848.000 961.14 INTUIT INC 35,215.000 3,662,712.15 INTUITIVE SURGICAL INC 5,125.000 3,080,381.25 INUVO INC 1,228.000 2,173.56 INVACARE CORP 9,663.000 127,261.71 INVENSENSE INC 8,528.000 71,635.20 INVERSIONES AGUAS METROPOLITAN 473,683.000 753,448.08 INVESCO LTD 221,220.000 6,806,939.40 INVESCO MORTGAGE CAPITAL INC 20,506.000 249,763.08 INVESTMENT TECHNOLOGY GROUP IN 5,778.000 127,693.80 INVESTORS BANCORP INC 61,592.000 716,930.88 INVESTORS REAL ESTATE TRUST 14,884.000 108,057.84 INVESTORS TITLE CO 897.000 81,384.81 INVIVO THERAPEUTICS HOLDINGS C 2,279.000 15,907.42 ION GEOPHYSICAL CORP 1,807.000 14,600.56 IONIS PHARMACEUTICALS INC 20,300.000 822,150.00 IPASS INC 7,205.000 7,925.50 IRADIMED CORP 3,050.000 58,438.00 IRIDEX CORP 2,567.000 26,234.74 IRIDIUM COMMUNICATIONS INC 5,780.000 45,488.60 IROBOT CORP 4,375.000 154,437.50 IRON MOUNTAIN INC 64,283.000 2,179,836.53 ISHARES CORE S&P MIDCAP ETF 2,826,466.000 407,548,132.54 ISIGN SOLUTIONS INC 2.000 5.62 ISLE OF CAPRI CASINOS INC 7,801.000 109,214.00 ISRAEL DISCOUNT BANK LTD 2,365,181.000 4,001,210.57 ISTAR INC 7,120.000 68,779.20 ITERIS INC 3,358.000 8,193.52 ITOCHU CORP 521,600.000 6,432,115.36 ITRON INC 7,058.000 294,459.76 ITT CORP 133,575.000 4,927,581.75 ITT EDUCATIONAL SERVICES INC 3,773.000 11,658.57 ITUS CORP 1,696.000 5,003.20 ITV PLC 2,700,000.000 9,360,272.52 ITZYOURMALL INC 17.000 0.00 IXIA 23,366.000 291,140.36 IXYS CORP 6,087.000 68,296.14

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 48 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

J SAINSBURY PLC 1,427,700.000 5,669,767.76 J&J SNACK FOODS CORP 4,065.000 440,158.20 J2 GLOBAL INC 8,023.000 494,056.34 JACK IN THE BOX INC 11,544.000 737,315.28 JACLYN INC 337.000 1,600.75 JACO ELECTRONICS INC 1,562.000 120.40 JACOBS ENGINEERING GROUP INC 16,803.000 731,770.65 JAKKS PACIFIC INC 9,120.000 67,852.80 JAMES HARDIE INDUSTRIES PLC 506,810.000 6,962,963.76 JAMES RIVER COAL CO 5,152.000 0.00 JANUS CAPITAL GROUP INC 22,012.000 322,035.56 JAPAN AIRLINES CO LTD 177,000.000 6,491,338.62 JAPAN TOBACCO INC 254,985.000 10,639,972.05 JAVELIN MORTGAGE INVESTMENT CO 3,638.000 26,120.84 JAZZ PHARMACEUTICALS PLC 27,326.000 3,567,409.30 JB HUNT TRANSPORT SERVICES INC 12,216.000 1,029,075.84 JBS SA 1,561,700.000 4,679,812.07 JER INVESTORS TRUST INC 786.000 35.37 JERONIMO MARTINS SGPS SA 860,530.000 14,101,271.91 JIANGSU EXPRESSWAY CO LTD 138,987.000 187,070.83 JM SMUCKER CO/THE 52,872.000 6,864,900.48 JOHN B SANFILIPPO & SON INC 784.000 54,166.56 JOHN BEAN TECHNOLOGIES CORP 4,666.000 263,209.06 JOHN LAING INFRASTRUCTURE 1,077,356.000 1,869,019.94 JOHN WOOD GROUP PLC 603,200.000 5,331,923.06 JOHNSON & JOHNSON 451,467.000 48,848,729.40 JOHNSON CONTROLS INC 88,887.000 3,463,926.39 JOHNSON OUTDOORS INC 2,069.000 45,973.18 JOURNAL MEDIA GROUP INC 1,536.000 18,370.56 JOURNAL REGISTER CO COM 18,400.000 36.80 JOY GLOBAL INC 10,300.000 165,521.00 JPMORGAN CHASE & CO 575,222.000 34,064,646.84 JUNIPER NETWORKS INC 135,766.000 3,463,390.66 JUNIPER PHARMACEUTICALS INC 747.000 4,937.67 K12 INC 3,085.000 30,510.65 KA WANG HOLDING INC 2.000 0.42 KADANT INC 2,316.000 104,590.56 KAISER ALUMINUM CORP 2,620.000 221,494.80 KAMAN CORP 4,164.000 177,761.16

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 49 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

KANSAS CITY LIFE INSURANCE CO 1,703.000 68,120.00 KANSAS CITY SOUTHERN 14,878.000 1,271,325.10 KAPSTONE PAPER AND PACKAGING C 13,358.000 185,008.30 KARYOPHARM THERAPEUTICS INC 2,042.000 18,214.64 KATY INDUSTRIES INC 5,499.000 9,623.25 KB FINANCIAL GROUP INC 143,900.000 4,007,709.86 KB HOME 10,256.000 146,455.68 KBC GROEP NV 215,000.000 11,107,222.34 KBR INC 314,220.000 4,864,125.60 KDDI CORP 374,300.000 10,010,639.34 KEARNY FINANCIAL CORP/MD 11,398.000 140,765.30 KELLOGG CO 34,580.000 2,647,099.00 KELLY SERVICES INC 4,503.000 86,097.36 KEMET CORP 3,326.000 6,419.18 KEMPER CORP 6,504.000 192,323.28 KENNAMETAL INC 11,900.000 267,631.00 KENNEDY-WILSON HOLDINGS INC 13,012.000 284,962.80 KEPPEL DC REIT 862,843.000 679,202.12 KEPPEL INFRASTRUCTURE TRUST 9,959,745.000 3,661,127.12 KERRY GROUP PLC 121,380.000 11,325,525.24 KERYX BIOPHARMACEUTICALS INC 5,436.000 25,386.12 KEWAUNEE SCIENTIFIC CORP 538.000 8,957.70 KEY ENERGY SERVICES INC 21,021.000 7,765.16 KEY TECHNOLOGY INC 1,142.000 7,788.44 KEY TRONIC CORP 8,083.000 57,793.45 KEYCORP 519,149.000 5,731,404.96 KEYSTONE CONS INDS INC 5,800.000 0.00 KFORCE INC 7,893.000 154,544.94 KID BRANDS INC 2,768.000 3.04 KILLAM APT REAL ESTATE INVT TR TR UNIT 113,322.000 1,025,938.86 KIMBALL ELECTRONICS INC 5,276.000 58,932.92 KIMBALL INTERNATIONAL INC 7,036.000 79,858.60 KIMBERLY-CLARK CORP 52,624.000 7,078,454.24 KIMCO REALTY CORP 56,729.000 1,632,660.62 KINDER HOLDING CORP 300.000 0.00 KINDER MORGAN INC/DE 250,915.000 4,481,341.90 KINDRED HEALTHCARE INC 16,078.000 198,563.30 KINGS ROAD ENTERTAINMENT INC 4,000.000 0.40 KIRKLAND'S INC 412.000 7,214.12

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 50 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

KITE REALTY GROUP TRUST 3,548.000 98,315.08 KLA-TENCOR CORP 21,345.000 1,554,129.45 KLX INC 5,600.000 179,984.00 KMG CHEMICALS INC 463.000 10,681.41 KNIGHT TRANSPORTATION INC 10,889.000 284,747.35 KNOLL INC 12,191.000 263,935.15 KNOWLES CORP 9,300.000 122,574.00 KOBENHAVNS LUFTHAVNE 9.000 5,286.06 KOC HOLDING AS 1,716,700.000 8,724,642.90 KOHL'S CORP 36,485.000 1,700,565.85 KONA GRILL INC 1,904.000 24,656.80 KONINKLIJKE AHOLD NV ADR 102,133.000 2,291,864.52 KOPIN CORP 11,587.000 19,234.42 KOPPERS HOLDINGS INC 4,903.000 110,170.41 KOREAN REINSURANCE CO 532,200.000 6,491,949.31 KORN/FERRY INTERNATIONAL 7,682.000 217,323.78 KOSS CORP 6,974.000 14,692.76 KRAFT HEINZ CO/THE 81,532.000 6,405,153.92 KRATON PERFORMANCE POLYMERS IN 3,500.000 60,550.00 KRATOS DEFENSE & SECURITY SOLU 3,477.000 17,211.15 KREISLER MANUFACTURING CORP 389.000 3,987.25 KRISPY KREME DOUGHNUTS INC 9,967.000 155,385.53 KROGER CO/THE 207,936.000 7,953,552.00 KRONOS WORLDWIDE INC 2,728.000 15,604.16 KRUNG THAI BANK PCL 11,750,000.000 6,245,736.30 KUBOTA CORP 961,700.000 13,146,955.47 KULICKE & SOFFA INDUSTRIES INC 6,982.000 79,036.24 KVH INDUSTRIES INC 3,754.000 35,850.70 L BRANDS INC 34,925.000 3,066,764.25 L-3 COMMUNICATIONS HOLDINGS IN 12,770.000 1,513,245.00 LA JOLLA PHARMACEUTICAL CO 1,950.000 40,774.50 LA QUINTA HOLDINGS INC 14,100.000 176,250.00 LA-Z-BOY INC 7,925.000 211,914.50 LABORATORY CORP OF AMERICA HOL 13,945.000 1,633,377.85 LACLEDE GROUP INC/THE 6,812.000 461,513.00 LADENBURG THALMANN FINANCIAL S 6,179.000 15,447.50 LAKE SUNAPEE BANK GROUP 975.000 13,630.50 LAKELAND BANCORP INC 1,208.000 12,261.20 LAKELAND FINANCIAL CORP 1,264.000 57,865.92

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 51 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

LAKELAND INDUSTRIES INC 1,079.000 13,239.33 LAM RESEARCH CORP 66,978.000 5,532,382.80 LANCASTER COLONY CORP 4,010.000 443,385.70 LANDAUER INC 2,921.000 96,597.47 LANDEC CORP 3,787.000 39,763.50 LANNETT CO INC 5,019.000 89,990.67 LANTRONIX INC 1,462.000 1,388.90 LAREDO PETROLEUM INC 10,350.000 82,075.50 LARGE SCALE BIOLOGY CORP COM NEW 4,040.000 0.00 LASALLE HOTEL PROPERTIES 15,804.000 399,999.24 LASERSIGHT INC COM NEW 413.000 0.00 LATTICE SEMICONDUCTOR CORP 19,854.000 112,770.72 LAWSON PRODUCTS INC/DE 1,742.000 34,108.36 LAYNE CHRISTENSEN CO 2,646.000 19,024.74 LAZARD EMERG MKT EQY-INST 10,085,318.659 147,346,505.61 LAZARD LTD 72,540.000 2,814,552.00 LAZARE KAPLAN INTERNATIONAL IN 4,018.000 3,013.50 LB FOSTER CO 3,210.000 58,293.60 LDR HOLDING CORP 3,000.000 76,470.00 LEAP WIRELESS INTL CONTRA 5,840.000 0.00 LEAPFROG ENTERPRISES INC 4,945.000 4,920.28 LEAR CORP COM 10,600.000 0.00 LEARNING TREE INTERNATIONAL IN 3,072.000 2,287.65 LECG CORP 659.000 3.30 LEGACYTEXAS FINANCIAL GROUP IN 11,819.000 232,243.35 LEGG MASON INC 14,769.000 512,188.92 LEGGETT & PLATT INC 18,606.000 900,530.40 LEIDOS HOLDINGS INC 16,700.000 840,344.00 LEMAITRE VASCULAR INC 4,227.000 65,603.04 LENDINGTREE INC 800.000 78,224.00 LENNAR CORP 24,697.000 1,194,346.92 LENNOX INTERNATIONAL INC 19,650.000 2,656,483.50 LENOX GROUP INC COM 6,400.000 112.00 LEUCADIA NATIONAL CORP 45,697.000 738,920.49 LEVEL 3 COMMUNICATIONS INC 206,173.000 10,896,243.05 LEXICON PHARMACEUTICALS INC 8,602.000 102,793.90 LEXINGTON REALTY TRUST 57,324.000 492,986.40 LEXMARK INTERNATIONAL INC 10,861.000 363,083.23 LGL GROUP INC/THE 498.000 1,600.65

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 52 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

LHC GROUP INC 4,819.000 171,363.64 LIBBEY INC 3,044.000 56,496.64 LIBERTY HOMES INC 1,312.000 26.24 LIBERTY INTERACTIVE CORP QVC G 83,610.000 2,111,152.50 LIBERTY PROPERTY TRUST 229,737.000 7,687,000.02 LIBERTY TRIPADVISOR HOLDINGS I 11,150.000 247,084.00 LICT CORP 10.000 52,750.00 LIFE PARTNERS HOLDINGS INC 1,668.000 16.68 LIFEPOINT HEALTH INC 7,019.000 486,065.75 LIFETIME BRANDS INC 2,244.000 33,817.08 LIGAND PHARMACEUTICALS INC 7,537.000 807,137.33 LIGHTPATH TECHNOLOGIES INC 791.000 1,597.82 LIMELIGHT NETWORKS INC 7,422.000 13,433.82 LINCOLN EDUCATIONAL SERVICES C 1,981.000 4,912.88 LINCOLN NATIONAL CORP 41,740.000 1,636,208.00 LINDSAY CORP 2,455.000 175,802.55 LINEAR TECHNOLOGY CORP 32,819.000 1,462,414.64 LINNCO LLC 13,796.000 4,932.08 LINTEC CORP 274,000.000 4,909,791.40 LION BIOTECHNOLOGIES INC 3,650.000 18,469.00 LIONBRIDGE TECHNOLOGIES INC 4,684.000 23,701.04 LIONS GATE ENTERTAINMENT CORP 56,100.000 1,225,785.00 LIPID SCIENCES INC 7,118.000 0.67 LIQUIDITY SERVICES INC 4,565.000 23,646.70 LIQUIDMETAL TECHNOLOGIES INC 12,923.000 1,679.99 LITHIA MOTORS INC 3,392.000 296,223.36 LITTELFUSE INC 3,499.000 430,761.89 LIVANOVA PLC 7,662.000 413,594.76 LIVE MICROSYSTEMS INC 1,765.000 529.50 LIVEPERSON INC 11,373.000 66,532.05 LLOYDS BANKING GROUP PLC 11,476,261.000 11,219,783.33 LMI AEROSPACE INC 2,487.000 21,164.37 LOCKHEED MARTIN CORP 49,344.000 10,929,696.00 LOEWS CORP 36,722.000 1,404,983.72 LOGIC DEVICES INC 306.000 1.78 LOGMEIN INC 3,145.000 158,696.70 LONDON STOCK EXCHANGE GROUP PL 219,547.000 8,898,648.27 LOOKSMART GROUP INC 1,377.000 176.39 LORAL SPACE & COMMUNICATIONS I 2,674.000 93,937.62

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 53 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

LOUISIANA-PACIFIC CORP 24,675.000 422,436.00 LOWE'S COS INC 125,481.000 9,505,185.75 LRAD CORP 2,339.000 3,882.74 LS STARRETT CO/THE 1,102.000 11,405.70 LSB INDUSTRIES INC 3,358.000 42,814.50 LSI INDUSTRIES INC 3,271.000 38,434.25 LTC PROPERTIES INC 32,534.000 1,471,838.16 LTV CORP 50,656.000 75.98 LUBY'S INC 5,936.000 28,789.60 LUKOIL PJSC ADR 180,100.000 6,960,865.00 LULULEMON ATHLETICA INC 23,090.000 1,563,423.90 LUMBER LIQUIDATORS HOLDINGS IN 7,873.000 103,293.76 LUMINENT MORTGAGE CAPITAL INC 17,500.000 0.00 LUMINEX CORP 7,497.000 145,441.80 LUMOS NETWORKS CORP 4,125.000 52,965.00 LUNA INNOVATIONS INC 1,719.000 1,822.14 LUNDIN PETROLEUM AB 760,560.000 12,900,070.31 LUXOFT HOLDING INC 2,512.000 138,235.36 LUXOTTICA GROUP SPA 126,677.000 7,001,206.60 LYDALL INC 3,680.000 119,673.60 LYONDELLBASELL INDUSTRIES NV 78,111.000 6,684,739.38 M&T BANK CORP 21,815.000 2,421,465.00 M/I HOMES INC 3,044.000 56,770.60 MABVAX THERAPEUTICS HOLDINGS I 23.000 15.87 MACATAWA BANK CORP 6,964.000 43,525.00 MACDONALD DETTWILER & ASSOC 74,520.000 4,753,102.17 MACERICH CO/THE 17,384.000 1,377,508.16 MACK-CALI REALTY CORP 14,092.000 331,162.00 MACQUARIE INFRASTRUCTURE CORP 19,396.000 1,308,066.24 MACROGENICS INC 2,964.000 55,575.00 MACY'S INC 42,549.000 1,875,985.41 MAGELLAN HEALTH INC 5,453.000 370,422.29 MAGELLAN MIDSTREAM PARTNERS LP 118,006.000 8,118,812.80 MAGELLAN PETROLEUM CORP 609.000 645.54 MAGNA ENTERTAINMENT CORP 225.000 0.00 MAGNA INTL INC 191,700.000 8,274,468.28 MAGNACHIP SEMICONDUCTOR CORP 2,963.000 16,118.72 MAGNUM HUNTER RES CORP DEL WT EXP 04/15/2016 259.000 0.00 MAGNUM HUNTER RESOURCES CORP 26,473.000 116.48

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 54 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MAIDEN HOLDINGS LTD 16,559.000 214,273.46 MAINSOURCE FINANCIAL GROUP INC 3,065.000 64,640.85 MAJESCO 249.000 1,516.41 MAKITA CORP 108,900.000 6,762,952.13 MALLINCKRODT PLC 15,346.000 940,402.88 MANHATTAN ASSOCIATES INC 14,576.000 828,937.12 MANHATTAN BRIDGE CAPITAL INC 446.000 1,940.10 MANNATECH INC 282.000 6,294.24 MANNKIND CORP 38,921.000 62,662.81 MANPOWERGROUP INC 27,250.000 2,218,695.00 MANTECH INTERNATIONAL CORP/VA 3,752.000 120,026.48 MAPFRE SA 2,523,900.000 5,461,733.36 MAPLETREE GREATER CHINA COMMER 1,909,707.000 1,354,351.84 MAPLETREE LOGISTICS TRUST 275,392.000 206,554.23 MARATHON OIL CORP 115,681.000 1,288,686.34 MARATHON PETROLEUM CORP 72,569.000 2,698,115.42 MARCHEX INC 3,081.000 13,710.45 MARCUS & MILLICHAP INC 1,050.000 26,659.50 MARCUS CORP/THE 3,593.000 68,087.35 MARINA BIOTECH INC 38.000 5.04 MARINE HARVEST ASA 378,500.000 5,834,517.13 MARINE PRODUCTS CORP 7,720.000 58,594.80 MARINEMAX INC 2,256.000 43,924.32 MARKETAXESS HOLDINGS INC 7,024.000 876,805.92 MARLIN BUSINESS SERVICES CORP 1,775.000 25,400.25 MARRIOTT INTERNATIONAL 194,414.000 0.00 MARRIOTT INTERNATIONAL INC/MD 26,069.000 1,855,591.42 MARRIOTT VACATIONS WORLDWIDE C 4,129.000 278,707.50 MARSH & MCLENNAN COS INC 71,472.000 4,344,782.88 MARTEN TRANSPORT LTD 3,799.000 71,117.28 MARTIN INDS INC DEL 9,400.000 0.00 MARTIN MARIETTA MATERIALS INC 8,821.000 1,407,037.71 MASCO CORP 45,790.000 1,440,095.50 MASIMO CORP 8,998.000 376,476.32 MASTEC INC 10,449.000 211,487.76 MASTECH HOLDINGS INC 745.000 5,378.90 MASTERCARD INC 159,082.000 15,033,249.00 MATADOR RESOURCES CO 8,640.000 163,814.40 MATAHARI DEPARTMENT STORE TBK 7,836,642.000 10,844,856.54

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 55 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MATERION CORP 5,824.000 154,219.52 MATRIX SERVICE CO 3,839.000 67,950.30 MATSON INC 4,716.000 189,441.72 MATSUMOTOKIYOSHI HOLDINGS CO L 139,400.000 7,305,182.67 MATTEL INC 68,212.000 2,293,287.44 MATTERSIGHT CORP 1,398.000 5,605.98 MATTHEWS INTERNATIONAL CORP 5,714.000 294,099.58 MATTRESS FIRM HOLDING CORP 2,450.000 103,855.50 MATTSON TECHNOLOGY INC 5,888.000 21,491.20 MAUI LAND & PINEAPPLE CO INC 355.000 2,076.75 MAXCO INC 3,300.000 0.00 MAXIM INTEGRATED PRODUCTS INC 15,800.000 581,124.00 MAXIMUS INC 11,013.000 579,724.32 MAXLINEAR INC 3,952.000 73,112.00 MAXUS TECHNOLOGY CORP COM 94.000 0.00 MAXWELL TECHNOLOGIES INC 3,209.000 19,061.46 MB FINANCIAL INC 10,527.000 341,601.15 MBIA INC 20,566.000 182,009.10 MBT FINANCIAL CORP 2,523.000 20,310.15 MCCLATCHY CO/THE 8,528.000 8,954.40 MCCORMICK & CO INC/MD 15,820.000 1,573,773.60 MCDERMOTT INTERNATIONAL INC 36,443.000 149,051.87 MCDONALD'S CORP 123,630.000 15,537,818.40 MCEWEN MINING INC 49,992.000 93,984.96 MCGRATH RENTCORP 4,359.000 109,323.72 MCGRAW HILL FINANCIAL INC 36,378.000 3,600,694.44 MCKESSON CORP 31,345.000 4,929,001.25 MCRAE INDUSTRIES INC 1,002.000 27,043.98 MDC HOLDINGS INC 4,882.000 122,342.92 MEAD JOHNSON NUTRITION CO 25,567.000 2,172,427.99 MECHANICAL TECHNOLOGY INC 831.000 706.35 MECKLERMEDIA CORP 970.000 3.88 MEDCATH CORP 2,594.000 0.00 MEDIA GENERAL INC 12,649.000 206,305.19 MEDICAL PROPERTIES TRUST INC 34,201.000 443,928.98 MEDICAL STAFFING NETWORK HOLDI 6,387.000 19.16 MEDICINES CO/THE 9,869.000 313,538.13 MEDIDATA SOLUTIONS INC 9,362.000 362,403.02 MEDIS TECHNOLOGIES LTD 7,776.000 0.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 56 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MEDTRONIC PLC 192,814.000 14,461,050.00 MEETME INC 87.000 247.08 MEGGITT PLC 1,160,900.000 6,784,371.34 MEI PHARMA INC 111.000 139.86 MELLANOX TECHNOLOGIES LTD 35,615.000 1,934,962.95 MENTOR GRAPHICS CORP 15,298.000 311,008.34 MERCADOLIBRE INC 54,000.000 6,363,900.00 MERCANTILE BANK CORP 864.000 19,370.88 MERCHANTS BANCSHARES INC/VT 1,437.000 42,736.38 MERCK & CO INC 439,547.000 23,256,431.77 MERCURY GENERAL CORP 1,691.000 93,850.50 MERCURY SYSTEMS INC 3,239.000 65,751.70 MEREDITH CORP 4,939.000 234,602.50 MERIDIAN BANCORP INC 2,250.000 31,320.00 MERIDIAN BIOSCIENCE INC 7,473.000 154,018.53 MERIT MEDICAL SYSTEMS INC 5,258.000 97,220.42 MERITAGE HOMES CORP 5,543.000 202,097.78 MERITOR INC 10,144.000 81,760.64 MERRIMACK PHARMACEUTICALS INC 131,181.000 1,097,984.97 MESA AIR GROUP INC 29,700.000 98.01 MESTEK INC 2,231.000 39,823.35 META FINANCIAL GROUP INC 3,811.000 173,781.60 METABOLIX INC 323.000 613.70 METAWAVE COMMNS CORP OC-COM 17,800.000 0.00 METHODE ELECTRONICS INC 5,896.000 172,399.04 METLIFE INC 150,377.000 6,607,565.38 METRO AG 232,200.000 7,205,153.58 METRO ONE TELECOMMUNICATIONS 4,577.000 30.21 METTLER-TOLEDO INTERNATIONAL I 7,009.000 2,416,422.84 MEXCO ENERGY CORP 119.000 298.98 MFB NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND 1,533,040.090 34,726,424.12 MFB NT COLLECTIVE NT COLLECTIVE DEV INTERNATL SMALL 8,876,091.340 126,120,381.85 MFRI INC 3,123.000 21,861.00 MGE ENERGY INC 4,687.000 244,895.75 MGIC INVESTMENT CORP 47,717.000 365,989.39 MGM RESORTS INTERNATIONAL 291,840.000 6,257,049.60 MGP INGREDIENTS INC 3,652.000 88,524.48 MICHAEL KORS HOLDINGS LTD 73,904.000 4,209,571.84 MICRO COMPONENT TECHNOLOGY INC 10,388.000 8.31

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 57 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MICROCHIP TECHNOLOGY INC 27,904.000 1,344,972.80 MICROLOG CORP 831.000 0.00 MICRON TECHNOLOGY INC 142,257.000 1,489,430.79 MICROSEMI CORP 77,415.000 2,965,768.65 MICROSOFT CORP 1,253,983.000 69,257,481.09 MICROSTRATEGY INC 1,453.000 261,133.16 MICROVISION INC 251.000 469.37 MICROWAVE FILTER CO INC 1,944.000 1,088.64 MIDDLESEX WATER CO 6,375.000 196,668.75 MIDSOUTH BANCORP INC 471.000 3,593.73 MILLER INDUSTRIES INC/TN 2,348.000 47,617.44 MIMEDX GROUP INC 11,966.000 104,463.18 MINERALS TECHNOLOGIES INC 6,561.000 372,992.85 MIRANT CORPORATION COM 51,800.000 0.00 MIRATI THERAPEUTICS INC 950.000 20,330.00 MISONIX INC 1,644.000 9,995.52 MISSISSIPPI CHEM CORP NEW COM 25,140.000 0.00 MITCHAM INDUSTRIES INC 2,140.000 6,548.40 MITEK SYSTEMS INC 1,742.000 11,392.68 MITSUBISHI GAS CHEMICAL CO INC 1,286,000.000 6,933,724.86 MITSUBISHI UFJ FINANCIAL GROUP 1,200,200.000 5,568,791.36 MKS INSTRUMENTS INC 7,391.000 278,271.15 MOBILE MINI INC 6,969.000 230,116.38 MOCON INC 1,941.000 26,882.85 MODINE MANUFACTURING CO 2,520.000 27,745.20 MODUSLINK GLOBAL SOLUTIONS INC 21,561.000 31,694.67 MOHAWK INDUSTRIES INC 8,721.000 1,664,838.90 MOLECULAR INSIGHT PHARMACEUTIC 3,910.000 16.03 MOLINA HEALTHCARE INC 6,102.000 393,517.98 MOLSON COORS BREWING CO 32,055.000 3,083,049.90 MOMENTA PHARMACEUTICALS INC 8,318.000 76,858.32 MONARCH CASINO & RESORT INC 2,559.000 49,798.14 MONARCH SERVICES INC 350.000 5.43 MONDELEZ INTERNATIONAL INC 215,124.000 8,630,774.88 MONEYGRAM INTERNATIONAL INC 239.000 1,462.68 MONMOUTH REAL ESTATE INVESTMEN 9,952.000 118,329.28 MONOLITHIC POWER SYSTEMS INC 4,987.000 317,372.68 MONOTYPE IMAGING HOLDINGS INC 4,266.000 102,042.72 MONRO MUFFLER BRAKE INC 4,810.000 343,770.70

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 58 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MONSANTO CO 60,382.000 5,297,916.68 MONSTER BEVERAGE CORP 21,840.000 2,913,019.20 MONSTER WORLDWIDE INC 11,188.000 36,472.88 MOODY'S CORP 23,251.000 2,245,116.56 MOOG INC 7,389.000 337,529.52 MOORE HANDLEY INC 612.000 0.06 MORGAN GROUP HOLDING CO 481.000 52.91 MORGAN STANLEY 209,478.000 5,239,044.78 MORGANS HOTEL GROUP CO 1,735.000 2,394.30 MOSAIC CO/THE 48,337.000 1,305,099.00 MOSSIMO INC 12,487.000 100,520.35 MOSYS INC 6,895.000 4,481.75 MOTORCAR PARTS OF AMERICA INC 600.000 22,788.00 MOTOROLA SOLUTIONS INC 36,382.000 2,754,117.40 MOVADO GROUP INC 4,874.000 134,181.22 MOVIE GALLERY INC COM 15,125.000 30.25 MPLX LP 196,590.000 5,836,757.10 MRC GLOBAL INC 10,900.000 143,226.00 MRV COMMUNICATIONS INC 1,131.000 10,246.86 MSA SAFETY INC 6,609.000 319,545.15 MSC INDUSTRIAL DIRECT CO INC 7,026.000 536,154.06 MSG NETWORKS INC 8,526.000 147,414.54 MTR CORP LTD 121,081.000 599,430.21 MTS SYSTEMS CORP 3,850.000 234,272.50 MTU AERO ENGINES AG 71,215.000 6,840,390.86 MUELLER INDUSTRIES INC 13,058.000 384,166.36 MUELLER WATER PRODUCTS INC 19,850.000 196,118.00 MUENCHENER RUECKVERSICHERUNGS- 37,300.000 7,597,807.18 MULTI-COLOR CORP 1,427.000 76,130.45 MULTI-FINELINE ELECTRONIX INC 4,311.000 100,058.31 MURPHY OIL CORP 22,175.000 558,588.25 MURPHY USA INC 2,400.000 147,480.00 MUTUALFIRST FINANCIAL INC 2,401.000 60,505.20 MYERS INDUSTRIES INC 5,472.000 70,369.92 MYLAN NV 56,518.000 2,619,609.30 MYR GROUP INC 3,927.000 98,606.97 MYREXIS INC 3,666.000 274.95 MYRIAD GENETICS INC 12,475.000 466,939.25 N-VIRO INTERNATIONAL CORP 846.000 1,226.70

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 59 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

NABORS INDUSTRIES LTD 344,735.000 3,171,562.00 NACCO INDUSTRIES INC 892.000 51,209.72 NANOGEN INC 7,205.000 0.00 NANOMETRICS INC 4,270.000 67,636.80 NANOPHASE TECHNOLOGIES CORP 2,437.000 1,096.65 NANOSPHERE INC 100.000 79.00 NANOSTRING TECHNOLOGIES INC 1,850.000 28,157.00 NAPCO SECURITY TECHNOLOGIES IN 3,942.000 24,637.50 NASB FINANCIAL INC 2,121.000 67,872.00 NASDAQ INC 15,731.000 1,044,223.78 NATIONAL BANK HOLDINGS CORP 7,538.000 153,699.82 NATIONAL BEVERAGE CORP 12,622.000 534,163.04 NATIONAL CINEMEDIA INC 30,377.000 462,034.17 NATIONAL FUEL GAS CO 13,881.000 694,744.05 NATIONAL GRID PLC ADR 72,294.000 5,163,237.48 NATIONAL HEALTH INVESTORS INC 4,925.000 327,611.00 NATIONAL HEALTHCARE CORP 2,575.000 160,422.50 NATIONAL HOLDINGS CORP 83.000 187.58 NATIONAL INTERSTATE CORP 2,264.000 67,738.88 NATIONAL OILWELL VARCO INC 51,530.000 1,602,583.00 NATIONAL PENN BANCSHARES INC 71,597.000 229,792.08 NATIONAL PRESTO INDUSTRIES INC 1,392.000 116,566.08 NATIONAL RECORD MART INC 8,200.000 0.00 NATIONAL RESEARCH CORP 5,698.000 103,809.40 NATIONAL WESTERN LIFE GROUP IN 453.000 104,475.39 NATURAL ALTERNATIVES INTERNATI 2,932.000 39,669.96 NATURAL GAS SERVICES GROUP INC 1,866.000 40,361.58 NATURE'S SUNSHINE PRODUCTS INC 3,183.000 30,556.80 NATUS MEDICAL INC 9,822.000 377,459.46 NAUTILUS INC 4,597.000 88,814.04 NAVIDEA BIOPHARMACEUTICALS INC 525.000 495.86 NAVIENT CORP 47,008.000 562,685.76 NAVIGANT CONSULTING INC 6,654.000 105,199.74 NAVIGATORS GROUP INC/THE 1,658.000 139,056.46 NAVISTAR INTERNATIONAL CORP 7,547.000 94,488.44 NBT BANCORP INC 7,668.000 206,652.60 NCI BUILDING SYSTEMS INC 863.000 12,254.60 NCI INC 1,747.000 24,475.47 NEENAH PAPER INC 4,139.000 263,488.74

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 60 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

NEKTAR THERAPEUTICS 19,923.000 273,941.25 NELNET INC 6,699.000 263,739.63 NEOGEN CORP 5,083.000 255,929.05 NEOMAGIC CORP 1,790.000 13.43 NEOPHOTONICS CORP 5,100.000 71,604.00 NEOSE TECHNOLOGIES INC 9,800.000 107.80 NESCO INC COM 5,500.000 0.00 NET 1 UEPS TECHNOLOGIES INC 5,845.000 53,774.00 NETAPP INC 114,439.000 3,123,040.31 NETBANK INC COM 43,611.000 0.00 NETFLIX INC 58,699.000 6,000,798.77 NETGEAR INC 4,300.000 173,591.00 NETLIST INC 1,400.000 1,918.00 NETSCOUT SYSTEMS INC 6,951.000 159,664.47 NETSOL TECHNOLOGIES INC 6,463.000 45,111.74 NETWORK-1 TECHNOLOGIES INC 1,870.000 3,571.70 NEUROBIOLOGICAL TECHNOLOGIES I 936.000 13.40 NEUROCRINE BIOSCIENCES INC 12,123.000 479,464.65 NEUROMETRIX INC 13.000 23.79 NEUSTAR INC 10,497.000 258,226.20 NEW GENERATION BIOFUELS HOLDIN 569.000 191,821.00 NEW JERSEY RESOURCES CORP 12,836.000 467,615.48 NEW MEDIA INVESTMENT GROUP INC 1,850.000 30,784.00 NEW RESIDENTIAL INVESTMENT COR 33,602.000 390,791.26 NEW SENIOR INVESTMENT GROUP IN 16,188.000 166,736.40 NEW YORK & CO INC 4,667.000 18,481.32 NEW YORK REIT INC 11,317.000 114,301.70 NEW YORK TIMES CO/THE 21,367.000 266,232.82 NEWCASTLE INVESTMENT CORP 5,605.000 24,269.65 NEWELL RUBBERMAID INC 214,674.000 9,507,911.46 NEWFIELD EXPLORATION CO 139,759.000 4,646,986.75 NEWLINK GENETICS CORP 2,623.000 47,738.60 NEWMONT MINING CORP 100,460.000 2,670,226.80 NEWPARK RESOURCES INC 15,962.000 68,955.84 NEWPORT CORP 4,542.000 104,466.00 NEWS CORP 66,885.000 861,216.81 NEWSTAR FINANCIAL INC 1,398.000 12,232.50 NEWTEK BUSINESS SERVICES CORP 1,072.000 13,400.00 NEXPRISE INC 1,644.000 1.64

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 61 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

NEXSTAR BROADCASTING GROUP INC 4,576.000 202,579.52 NEXTERA ENERGY INC 63,158.000 7,474,117.72 NEXTERA ENERGY PARTNERS LP 41,899.000 1,139,233.81 NEXTERA ENTERPRISES INC 29,140.000 27.54 NIC INC 10,942.000 197,284.26 NIELSEN HOLDINGS PLC 49,621.000 2,613,041.86 NIKE INC 185,100.000 11,378,097.00 NIMBLE STORAGE INC 3,800.000 29,792.00 NIPPON TELEGRAPH & TELEPHONE C 241,900.000 10,434,015.82 NISOURCE INC 43,843.000 1,032,941.08 NITCHES INC 1,080.000 2.16 NL INDUSTRIES INC 7,395.000 16,712.70 NMT MEDICAL INC 2,641.000 0.24 NN INC 2,646.000 36,197.28 NOBILITY HOMES INC 1,411.000 19,542.35 NOBLE CORP PLC 230,500.000 2,385,675.00 NOBLE ENERGY INC 58,803.000 1,847,002.23 NOBLE GROUP LTD 31,500,000.000 10,292,588.73 NOBLE INTL LTD 5,650.000 84.75 NORD RESOURCES CORP 1,694.000 0.68 NORDIC AMERICAN OFFSHORE LTD 87.000 389.76 NORDIC AMERICAN TANKERS LTD 8,857.000 124,795.13 NORDSTROM INC 17,605.000 1,007,182.05 NORFOLK SOUTHERN CORP 40,890.000 3,404,092.50 NORTECH SYSTEMS INC 1,018.000 3,807.32 NORTHEAST INDIANA BANCORP INC 1,075.000 28,487.50 NORTHERN OIL AND GAS INC 8,489.000 33,871.11 NORTHERN STATES FINANCIAL CORP 144.000 87.12 NORTHERN TECHNOLOGIES INTERNAT 184.000 2,323.92 NORTHERN TRUST CORP 29,515.000 1,923,492.55 NORTHFIELD BANCORP INC 11,221.000 184,473.24 NORTHRIM BANCORP INC 1,204.000 28,787.64 NORTHROP GRUMMAN CORP 24,811.000 4,910,096.90 NORTHSTAR ASSET MANAGEMENT GRO 14,575.000 165,426.25 NORTHWEST BANCSHARES INC 14,176.000 191,517.76 NORTHWEST BIOTHERAPEUTICS INC 6,550.000 9,563.00 NORTHWEST NATURAL GAS CO 4,780.000 257,403.00 NORTHWEST PIPE CO 1,703.000 15,701.66 NORTHWESTERN CORP 7,250.000 447,687.50

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 62 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

NOVARTIS AG 153,286.000 11,156,512.50 NOVATEL WIRELESS INC 3,627.000 6,419.79 NOVATION COS INC 1,726.000 107.01 NOVAVAX INC 41,307.000 213,144.12 NRG ENERGY INC 43,178.000 561,745.78 NRG YIELD INC 5,746.000 79,898.13 NTELOS HOLDINGS CORP 3,114.000 28,648.80 NTN BUZZTIME INC 8,299.000 1,244.85 NUANCE COMMUNICATIONS INC 183,635.000 3,432,138.15 NUCOR CORP 164,122.000 7,762,970.60 NUMEREX CORP 5,000.000 30,500.00 NUTRACEUTICAL INTERNATIONAL CO 3,692.000 89,900.20 NUTRISYSTEM INC 5,077.000 105,956.99 NUTROGANICS INC 831.000 174.51 NUVASIVE INC 7,561.000 367,842.65 NUVECTRA CORP 1,354.000 7,325.14 NVE CORP 2,021.000 114,247.13 NVIDIA CORP 161,182.000 5,742,914.66 NXP SEMICONDUCTORS NV 171,526.000 13,905,612.82 NXSTAGE MEDICAL INC 10,416.000 156,135.84 NXXI INC 11,261.000 12.79 O'REILLY AUTOMOTIVE INC 13,327.000 3,647,066.82 OCCIDENTAL PETROLEUM CORP 166,492.000 11,393,047.56 OCEANFIRST FINANCIAL CORP 4,165.000 73,637.20 OCLARO INC 2,354.000 12,711.60 OCULAR THERAPEUTIX INC 1,831.000 17,687.46 OCWEN FINANCIAL CORP 10,650.000 26,305.50 ODYSSEY MARINE EXPLORATION INC 63.000 427.77 OESTERREICHISCHE POST AG 17,624.000 717,580.93 OFFICE DEPOT INC 28,412.000 201,725.20 OFG BANCORP 3,913.000 27,351.87 OGX PETROLEO E GAS SA ADR 72,008.000 54,006.00 OHIO VALLEY BANC CORP 1,573.000 34,149.83 OIL STATES INTERNATIONAL INC 6,500.000 204,880.00 OIL-DRI CORP OF AMERICA 2,168.000 73,235.04 OILSANDS QUEST INC 6,899.000 0.00 OLD NATIONAL BANCORP/IN 22,024.000 268,472.56 OLD SECOND BANCORP INC 471.000 3,377.07 OLIN CORP 14,270.000 247,869.90

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 63 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

OLYMPIC STEEL INC 2,176.000 37,666.56 OMEGA FLEX INC 1,297.000 45,109.66 OMEGA HEALTHCARE INVESTORS INC 1,692.000 59,727.60 OMEGA PROTEIN CORP 5,036.000 85,309.84 OMEROS CORP 7,550.000 115,817.00 OMNICELL INC 5,514.000 153,675.18 OMNICOM GROUP INC 46,313.000 3,854,630.99 OMNOVA SOLUTIONS INC 6,923.000 38,491.88 OMTOOL LTD 2,818.000 7,073.18 ON ASSIGNMENT INC 6,730.000 248,471.60 ONCOCYTE CORP 142.000 654.62 ONCOGENEX PHARMACEUTICALS INC 4,084.000 2,791.42 ONCOMED PHARMACEUTICALS INC 3,678.000 37,184.58 ONE GAS INC 7,255.000 443,280.50 ONE LIBERTY PROPERTIES INC 5,182.000 116,128.62 ONE PRICE CLOTHING STORES INC 2,557.000 0.00 ONEBEACON INSURANCE GROUP LTD 7,378.000 93,921.94 ONEOK INC 156,245.000 4,665,475.70 ONEOK PARTNERS LP 95,580.000 3,001,212.00 ONEREIT TR UNIT 93,670.000 246,947.85 ONVIA INC 525.000 1,837.50 OPPENHEIMER HOLDINGS INC 1,250.000 19,725.00 OPTI INC 5,424.000 2,983.20 OPTICAL CABLE CORP 1,499.000 3,672.55 ORACLE CORP 432,058.000 17,675,492.78 ORASURE TECHNOLOGIES INC 15,563.000 112,520.49 ORBCOMM INC 6,500.000 65,845.00 ORBIT INTERNATIONAL CORP 645.000 2,244.60 ORBIT/FR INC 4,350.000 14,137.50 ORCHID ISLAND CAPITAL INC 3,910.000 40,546.70 OREXIGEN THERAPEUTICS INC 3,356.000 1,888.42 ORGANOVO HOLDINGS INC 11,007.000 23,775.12 ORICA LTD 504,000.000 5,958,979.74 ORION MARINE GROUP INC 6,213.000 32,183.34 ORITANI FINANCIAL CORP 6,698.000 113,665.06 ORIX CORP 1,040,500.000 14,862,963.32 ORLEANS HOMEBUILDERS INC 2,200.000 220.00 ORMAT TECHNOLOGIES INC 5,435.000 224,139.40 ORTHOFIX INTERNATIONAL NV 5,403.000 224,332.56

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 64 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

OSCIENT PHARMACEUTICALS CORP COM NEW 1,863.000 0.00 OSI SYSTEMS INC 23,546.000 1,542,027.54 OSIRIS THERAPEUTICS INC 7,086.000 40,461.06 OTONOMY INC 1,250.000 18,650.00 OTTER TAIL CORP 5,743.000 170,107.66 OUTERWALL INC 5,681.000 210,140.19 OVASCIENCE INC 2,000.000 18,900.00 OVERSEAS SHIPHOLDING GROUP INC 3,605.000 7,662.46 OVERSTOCK.COM INC 4,026.000 57,893.88 OWENS & MINOR INC 25,623.000 1,035,681.66 OWENS CORNING 60,590.000 2,864,695.20 OWENS-ILLINOIS INC 126,934.000 2,025,866.64 OXFORD INDUSTRIES INC 2,455.000 165,049.65 OXIGENE INC 10.000 7.94 P&F INDUSTRIES INC 2,259.000 21,596.04 PAB BANKSHARES INC 1,304.000 0.26 PACCAR INC 48,179.000 2,634,909.51 PACIFIC BIOSCIENCES OF CALIFOR 4,800.000 40,800.00 PACIFIC CONTINENTAL CORP 810.000 13,065.30 PACIFIC ETHANOL INC 69.000 322.92 PACIFIC MERCANTILE BANCORP 1,202.000 8,414.00 PACIFIC SUNWEAR OF CALIFORNIA 11,226.000 1,409.99 PACIFICNET INC 245.000 0.00 PACIRA PHARMACEUTICALS INC/DE 6,018.000 318,833.64 PACKAGED HOME SOLUTIONS INC 13.000 1.30 PAIN THERAPEUTICS INC 5,473.000 12,204.79 PALM HARBOR HOMES INC 3,688.000 7.67 PALO ALTO NETWORKS INC 19,505.000 3,182,045.70 PAM TRANSPORTATION SERVICES IN 1,822.000 56,117.60 PANDORA A/S 90,942.000 11,927,709.01 PANHANDLE OIL AND GAS INC 7,504.000 129,894.24 PAPA JOHN'S INTERNATIONAL INC 9,307.000 504,346.33 PAR TECHNOLOGY CORP 3,485.000 23,105.55 PARAGON TECHNOLOGIES INC 2,194.000 3,642.04 PARATEK PHARMACEUTICALS INC 1,134.000 17,202.78 PAREXEL INTERNATIONAL CORP 8,843.000 554,721.39 PARK BANCORP INC 262.000 38.77 PARK ELECTROCHEMICAL CORP 2,845.000 45,548.45 PARK NATIONAL CORP 1,718.000 154,620.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 65 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

PARK-OHIO HOLDINGS CORP 1,989.000 85,168.98 PARKER DRILLING CO 12,641.000 26,798.92 PARKER-HANNIFIN CORP 23,095.000 2,565,392.60 PARKERVISION INC 250.000 782.50 PARKWAY LIFE REAL ESTATE INVES 462,038.000 820,043.68 PARKWAY PROPERTIES INC/MD 8,869.000 138,888.54 PARSLEY ENERGY INC 8,312.000 187,851.20 PATRICK INDUSTRIES INC 4,990.000 226,496.10 PATRIOT TRANSPORTATION HOLDING 1,149.000 23,232.78 PATTERN ENERGY GROUP INC 13,367.000 254,908.69 PATTERSON COS INC 11,452.000 532,861.56 PATTERSON-UTI ENERGY INC 14,100.000 248,442.00 PAUL MUELLER CO 119.000 3,570.00 PAYCHEX INC 44,049.000 2,379,086.49 PAYCOM SOFTWARE INC 4,650.000 165,540.00 PAYLOCITY HOLDING CORP 1,200.000 39,288.00 PAYPAL HOLDINGS INC 152,566.000 5,889,047.60 PBF ENERGY INC 10,256.000 340,499.20 PC CONNECTION INC 4,658.000 120,222.98 PC-TEL INC 3,004.000 14,359.12 PCD INC COM 12,400.000 0.00 PCM INC 1,377.000 11,043.54 PDC ENERGY INC 40,582.000 2,412,599.90 PDF SOLUTIONS INC 5,076.000 67,916.88 PDL BIOPHARMA INC 23,097.000 76,913.01 PEAPACK GLADSTONE FINANCIAL CO 1,548.000 26,161.20 PEBBLEBROOK HOTEL TRUST 8,437.000 245,263.59 PEGASUS COS INC/THE 36.000 14,940.00 PEGASYSTEMS INC 12,617.000 320,219.46 PEGATRON CORP 2,667,000.000 6,223,331.51 PENDRELL CORP 26,111.000 13,838.83 PENN OCTANE CORP 5,906.000 0.00 PENN TREATY AMERICAN CORP 5,499.000 4,315.17 PENN VIRGINIA CORP 6,381.000 982.67 PENNSYLVANIA REAL ESTATE INVES 13,230.000 289,075.50 PENNYMAC MORTGAGE INVESTMENT T 9,338.000 127,370.32 PENSKE AUTOMOTIVE GROUP INC 9,639.000 365,318.10 PENSON WORLDWIDE INC 4,020.000 0.00 PENTAIR PLC 25,017.000 1,357,422.42

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 66 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

PEOPLE'S UNITED FINANCIAL INC 42,568.000 678,108.24 PEOPLES BANCORP INC/OH 1,168.000 22,822.72 PEOPLES FINANCIAL CORP/MS 850.000 7,650.00 PEOPLES FINANCIAL SERVICES COR 650.000 24,082.50 PEPSICO INC 234,245.000 24,005,427.60 PERCEPTRON INC 2,817.000 13,662.45 PEREGRINE PHARMACEUTICALS INC 3,720.000 1,564.26 PERFICIENT INC 5,603.000 121,697.16 PERFUMANIA HOLDINGS INC 2,290.000 5,725.00 PERKINELMER INC 15,054.000 744,570.84 PERMA-FIX ENVIRONMENTAL SERVIC 1,554.000 5,749.80 PERMANENT TSB GROUP HOLDINGS P 804,240.000 2,493,719.47 PERNIX THERAPEUTICS HOLDINGS I 8,800.000 9,240.00 PERRIGO CO PLC 20,075.000 2,568,194.75 PERRY ELLIS INTERNATIONAL INC 1,290.000 23,748.90 PERSEON CORP 865.000 67.47 PERVASIP CORP 276.000 0.03 PETMED EXPRESS INC 5,936.000 106,313.76 PETROCORP INC ESCROW SHARES COM 10,574.000 0.00 PETROQUEST ENERGY INC 6,328.000 3,834.13 PFENEX INC 1,200.000 11,796.00 PFF BANCORP INC 6,255.000 8.78 PFIZER INC 892,430.000 26,451,625.20 PFSWEB INC 1,845.000 24,206.40 PG&E CORP 202,168.000 12,073,472.96 PH GLATFELTER CO 5,416.000 112,273.68 PHARMANETICS INC COM 6,690.000 16.73 PHARMATHENE INC 494.000 933.66 PHARMCHEM INC 1,619.000 275.23 PHARMERICA CORP 6,374.000 140,929.14 PHARMOS CORP 2,143.000 64.29 PHH CORP 11,212.000 140,598.48 PHI INC 3,137.000 59,257.93 PHIBRO ANIMAL HEALTH CORP 2,350.000 63,544.00 PHILIP MORRIS INTERNATIONAL IN 212,448.000 20,843,273.28 PHILLIPS 66 64,370.000 5,573,798.30 PHILLIPS 66 PARTNERS LP 49,949.000 3,126,307.91 PHOENIX COS INC/THE 681.000 25,088.04 PHOENIX FOOTWEAR GROUP INC 1,137.000 365.34

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 67 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

PHOENIX GOLD INTERNATIONAL INC 200.000 1.00 PHOTRONICS INC 6,969.000 72,547.29 PHYSICIANS REALTY TRUST 246,789.000 4,585,339.62 PICO HOLDINGS INC 2,009.000 20,552.07 PIEDMONT NATURAL GAS CO INC 11,964.000 715,806.12 PIER 1 IMPORTS INC 15,227.000 106,741.27 PILGRIM'S PRIDE CORP 44,300.000 1,125,220.00 PINNACLE ENTERTAINMENT INC 7,889.000 276,903.90 PINNACLE FINANCIAL PARTNERS IN 5,295.000 259,772.70 PINNACLE FOODS INC 122,185.000 5,459,225.80 PINNACLE WEST CAPITAL CORP 15,221.000 1,142,640.47 PIONEER ENERGY SERVICES CORP 7,884.000 17,344.80 PIONEER NATURAL RESOURCES CO 22,388.000 3,150,887.12 PIPER JAFFRAY COS 3,355.000 166,273.80 PITNEY BOWES INC 176,267.000 3,796,791.18 PIXELWORKS INC 1,840.000 4,029.60 PJT PARTNERS INC 2,000.000 48,100.00 PLA ADMINISTRADORA INDUSTRIAL 696,249.000 1,304,927.30 PLAINS ALL AMERICAN PIPELINE L 273,319.000 5,731,499.43 PLAINS GP HOLDINGS LP 49,210.000 427,634.90 PLANTRONICS INC 6,949.000 272,331.31 PLAZA RETAIL REIT TRUST UNIT 540,055.000 1,954,043.38 PLEXUS CORP 6,133.000 242,376.16 PLUG POWER INC 770.000 1,578.50 PNC FINANCIAL SERVICES GROUP I 82,513.000 6,978,124.41 PNM RESOURCES INC 12,724.000 429,053.28 POINT BLANK SOLUTIONS INC 5,587.000 670.44 POINT.360 3,662.000 1,935.05 POLYCOM INC 25,959.000 289,442.85 POLYONE CORP 6,463.000 195,505.75 PONIARD PHARMACEUTICALS INC 80.000 9.60 POOL CORP 6,894.000 604,879.56 POPEYES LOUISIANA KITCHEN INC 2,516.000 130,982.96 POPULAR INC 14,543.000 416,075.23 PORTER BANCORP INC 1,130.000 1,367.30 PORTLAND GENERAL ELECTRIC CO 14,115.000 557,401.35 POST HOLDINGS INC 4,105.000 282,300.85 POST PROPERTIES INC 8,135.000 485,984.90 POTLATCH CORP 5,238.000 164,997.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 68 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

POWELL INDUSTRIES INC 1,742.000 51,929.02 POWER ASSETS HOLDINGS LTD 61,357.000 627,686.01 POWER INTEGRATIONS INC 4,004.000 198,838.64 POWERSECURE INTERNATIONAL INC 1,989.000 37,174.41 POWERWAVE TECHNOLOGIES INC 3,664.000 2.19 PPG INDUSTRIES INC 36,579.000 4,078,192.71 PPL CORP 92,400.000 3,517,668.00 PRA GROUP INC 9,798.000 287,963.22 PRA HEALTH SCIENCES INC 3,050.000 130,418.00 PRAXAIR INC 46,823.000 5,358,892.35 PRECISION AUTO CARE INC 1,312.000 788.51 PRECISION DRILLING CORP 700,925.000 2,943,885.00 PREFERRED APARTMENT COMMUNITIE 8,350.000 105,878.00 PREFERRED BANK/LOS ANGELES CA 572.000 17,303.00 PREMIER FINANCIAL BANCORP INC 391.000 6,162.16 PREMIER INC 4,950.000 165,132.00 PREMIER LASER SYS INC CL A COM 15,000.000 1.50 PRESTIGE BRANDS HOLDINGS INC 8,486.000 453,067.54 PRGX GLOBAL INC 913.000 4,309.36 PRICELINE GROUP INC/THE 7,663.000 9,877,300.48 PRICESMART INC 2,719.000 229,973.02 PRIMECARE SYSTEMS INC 1,444.000 0.58 PRIMEENERGY CORP 3,214.000 83,660.42 PRIMERICA INC 7,947.000 353,879.91 PRIMORIS SERVICES CORP 3,934.000 95,596.20 PRIMUS GUARANTY LTD 5,606.000 784.72 PRINCETON NATIONAL BANCORP INC 3,531.000 10.59 PRINCIPAL FINANCIAL GROUP INC 37,189.000 1,467,106.05 PRISM TECHNOLOGIES GROUP INC 294.000 88.20 PRIVATEBANCORP INC 10,960.000 423,056.00 PROCTER & GAMBLE CO/THE 363,723.000 29,938,040.13 PROGENICS PHARMACEUTICALS INC 13,026.000 56,793.36 PROGRESS SOFTWARE CORP 9,814.000 236,713.68 PROGRESSIVE CORP/THE 80,124.000 2,815,557.36 PROLIANCE INTERNATIONAL INC 4,794.000 0.48 PROLOGIS INC 84,258.000 3,722,518.44 PROLOGIS PROPERTY MEXICO SA DE 481,311.000 770,648.06 PROOFPOINT INC 5,108.000 274,708.24 PROS HOLDINGS INC 3,163.000 37,291.77

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 69 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

PROSOFT LEARNING CORP COM 3,150.000 0.32 PROSPERITY BANCSHARES INC 8,974.000 416,303.86 PROTALIX BIOTHERAPEUTICS INC 18,692.000 15,710.63 PROTEON THERAPEUTICS INC 1,600.000 12,384.00 PROTO LABS INC 3,794.000 292,479.46 PROVIDENCE AND WORCESTER RAILR 657.000 9,460.80 PROVIDENCE SERVICE CORP/THE 2,069.000 105,663.83 PROVIDENT FINANCIAL HOLDINGS I 1,239.000 21,124.95 PROVIDENT FINANCIAL SERVICES I 9,819.000 198,245.61 PRUDENTIAL FINANCIAL INC 83,457.000 6,027,264.54 PRUDENTIAL PLC 691,134.000 12,923,703.35 PS BUSINESS PARKS INC 2,849.000 286,352.99 PSYCHEMEDICS CORP 1,457.000 20,033.75 PTC INC 12,016.000 398,450.56 PTC THERAPEUTICS INC 2,001.000 12,886.44 PUBLIC SERVICE ENTERPRISE GROU 109,368.000 5,155,607.52 PUBLIC STORAGE 32,545.000 8,976,887.35 PULTEGROUP INC 43,567.000 815,138.57 PURCHASEPRO COM INC COM NEW 44.000 0.44 PURE BIOSCIENCE INC 247.000 281.58 PURE INDUSTRIAL REAL ESTATE TR UNIT 137,614.000 506,430.58 PVH CORP 65,171.000 6,455,839.26 PYXIS TANKERS INC 222.000 455.10 PZENA INVESTMENT MANAGEMENT IN 7,248.000 54,722.40 QAD INC 2,758.000 56,830.75 QC HOLDINGS INC 1,838.000 1,286.60 QEP CO INC 538.000 8,613.38 QLIK TECHNOLOGIES INC 13,681.000 395,654.52 QLOGIC CORP 10,808.000 145,259.52 QLT INC 2,570.000 5,114.30 QORVO INC 17,703.000 892,408.23 QTS REALTY TRUST INC 364.000 17,246.32 QUAD SYSTEMS CORP 8,400.000 0.00 QUAKER CHEMICAL CORP 4,164.000 353,357.04 QUAKER FABRIC CORP NEW 8,200.000 8.20 QUALCOMM INC 270,818.000 13,849,632.52 QUALITY SYSTEMS INC 11,179.000 170,367.96 QUALSTAR CORP 2,216.000 955.32 QUALYS INC 2,600.000 65,806.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 70 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

QUANEX BUILDING PRODUCTS CORP 5,874.000 101,972.64 QUANTA SERVICES INC 34,409.000 776,267.04 QUANTUM CORP 16,330.000 9,961.30 QUEST DIAGNOSTICS INC 32,683.000 2,335,200.35 QUICKLOGIC CORP 3,405.000 3,609.30 QUIDEL CORP 6,373.000 109,997.98 QUIKSILVER INC 16,839.000 0.00 QUMU CORP 2,850.000 13,138.50 RADIAN GROUP INC 32,801.000 406,732.40 RADIO ONE INC 14,184.000 20,566.80 RADIOIO INC 9.000 0.14 RADISYS CORP 2,932.000 11,581.40 RADNET INC 10,870.000 52,502.10 RAINMAKER SYSTEMS INC 1,456.000 2.09 RAIT FINANCIAL TRUST 14,772.000 46,384.08 RALPH LAUREN CORP 7,972.000 767,384.72 RAMBUS INC 15,057.000 207,033.75 RAMCO-GERSHENSON PROPERTIES TR 9,802.000 176,730.06 RAND WORLDWIDE INC 442.000 830.96 RANGE RESOURCES CORP 23,254.000 752,964.52 RAPTOR PHARMACEUTICAL CORP 9,250.000 42,550.00 RASER TECHNOLOGIES INC 6,049.000 0.00 RAVEN INDUSTRIES INC 8,485.000 135,929.70 RAYTHEON CO 81,659.000 10,013,843.17 RBC BEARINGS INC 2,622.000 192,087.72 RCM TECHNOLOGIES INC 3,612.000 19,179.72 READING INTERNATIONAL INC 5,338.000 63,949.24 REALNETWORKS INC 5,194.000 21,087.64 REALPAGE INC 6,969.000 145,233.96 REALTY INCOME CORP 60,237.000 3,765,414.87 RECKITT BENCKISER GROUP PLC 270,383.000 26,154,226.00 RED HAT INC 57,782.000 4,305,336.82 RED LION HOTELS CORP 2,411.000 20,324.73 RED ROBIN GOURMET BURGERS INC 4,096.000 264,069.12 REDWOOD TRUST INC 11,256.000 147,228.48 REGENCY CENTERS CORP 5,900.000 441,615.00 REGENERON PHARMACEUTICALS INC 10,706.000 3,858,870.64 REGENT ASSISTED LIVING INC 2,362.000 0.00 REGIONS FINANCIAL CORP 176,589.000 1,386,223.65

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 71 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

REGIS CORP 10,769.000 163,581.11 REGULUS THERAPEUTICS INC 2,100.000 14,553.00 REIS INC 5,167.000 121,682.85 RELIV INTERNATIONAL INC 1,432.000 1,203.02 RELM WIRELESS CORP 1,450.000 6,554.00 RELYPSA INC 2,976.000 40,324.80 REN - REDES ENERGETICAS NACION 568,344.000 1,866,545.76 RENASANT CORP 4,442.000 146,186.22 RENEWABLE ENERGY GROUP INC 1,412.000 13,329.28 RENEWABLES INFRASTRUCTURE GROU 607,869.000 891,163.92 RENNOVA HEALTH INC 19.000 14.44 RENT-A-CENTER INC/TX 7,859.000 124,565.15 REPLIGEN CORP 8,587.000 230,303.34 REPROS THERAPEUTICS INC 10,444.000 10,130.68 REPUBLIC AIRWAYS HOLDINGS INC 2,567.000 5,005.65 REPUBLIC BANCORP INC/KY 3,717.000 96,010.11 REPUBLIC SERVICES INC 98,229.000 4,680,611.85 RESEARCH FRONTIERS INC 2,567.000 11,705.52 RESOLUTE ENERGY CORP 5,901.000 3,009.51 RESOLUTE FOREST PRODUCTS INC 10,422.000 57,425.22 RESONA HOLDINGS INC 1,270,700.000 4,540,354.31 RESOURCE AMERICA INC 5,780.000 33,350.60 RESOURCE CAPITAL CORP 3,799.000 42,738.75 RESOURCES CONNECTION INC 6,964.000 108,359.84 RESPIRERX PHARMACEUTICALS INC 12,836.000 282.39 RESTORATION HARDWARE HOLDINGS 5,412.000 226,762.80 RETAIL OPPORTUNITY INVESTMENTS 11,402.000 229,408.24 REUNION INDUSTRIES INC 1,969.000 187.06 REVANCE THERAPEUTICS INC 950.000 16,587.00 REVLON INC 1,411.000 51,374.51 REX AMERICAN RESOURCES CORP 3,877.000 215,057.19 REX ENERGY CORP 5,431.000 4,172.63 REXAHN PHARMACEUTICALS INC 4,700.000 1,551.47 REXFORD INDUSTRIAL REALTY INC 5,693.000 103,384.88 REXNORD CORP 11,066.000 223,754.52 REYNOLDS AMERICAN INC 113,517.000 5,711,040.27 RF INDUSTRIES LTD 1,822.000 4,919.40 RICHARDSON ELECTRONICS LTD/UNI 1,742.000 8,988.72 RICOH CO LTD 482,700.000 4,921,697.62

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 72 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

RIGEL PHARMACEUTICALS INC 8,415.000 17,503.20 RIGNET INC 1,110.000 15,184.80 RING ENERGY INC 2,088.000 10,544.40 RIVERVIEW BANCORP INC 4,432.000 18,614.40 RLI CORP 8,158.000 545,443.88 RLJ ENTERTAINMENT INC 63.000 56.70 RLJ LODGING TRUST 19,800.000 453,024.00 RMR GROUP INC/THE 161.000 4,026.61 ROADHOUSE GRILL INC COM CASH MERGER 5,534.000 0.55 ROBERT HALF INTERNATIONAL INC 17,985.000 837,741.30 ROCHE HOLDING AG 101,700.000 25,136,939.38 ROCK CREEK PHARMACEUTICALS INC 413.000 150.75 ROCKFORD CORP/ARIZONA 4,168.000 32,093.60 ROCKWELL AUTOMATION INC 18,021.000 2,049,888.75 ROCKWELL COLLINS INC 17,981.000 1,658,028.01 ROCKWELL MEDICAL INC 7,888.000 59,238.88 ROCKY BRANDS INC 492.000 6,268.08 ROCKY MOUNTAIN CHOCOLATE FACTO 4,004.000 40,720.68 ROFIN-SINAR TECHNOLOGIES INC 4,153.000 133,809.66 ROGERS COMMUNICATIONS INC 5,775.000 231,115.50 ROGERS CORP 5,039.000 301,684.93 RONA INC 372,800.000 6,822,201.09 ROPER TECHNOLOGIES INC 13,858.000 2,532,826.66 ROSETTA STONE INC 5,320.000 35,697.20 ROSS STORES INC 55,535.000 3,215,476.50 ROUSE PROPERTIES INC 3,839.000 70,560.82 ROVI CORP 17,021.000 349,100.71 ROWAN COS PLC 11,950.000 192,395.00 ROWE COS/THE 5,035.000 0.00 ROYAL BANCSHARES OF PENNSYLVAN 2,235.000 4,760.55 ROYAL CARIBBEAN CRUISES LTD 23,253.000 1,910,233.95 ROYALE ENERGY INC 2,193.000 811.41 RR DONNELLEY & SONS CO 4,984.000 81,737.60 RSP PERMIAN INC 68,500.000 1,989,240.00 RTI SURGICAL INC 9,846.000 39,384.00 RUBICON TECHNOLOGY INC 3,820.000 2,788.60 RUBY TUESDAY INC 9,273.000 49,888.74 RUCKUS WIRELESS INC 4,700.000 46,107.00 RUDOLPH TECHNOLOGIES INC 9,418.000 128,649.88

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 73 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

RURAL ELECTRIFICATION CORP LTD 1,214,600.000 3,048,307.19 RUSH ENTERPRISES INC 13,625.000 248,547.94 RUTH'S HOSPITALITY GROUP INC 3,321.000 61,139.61 RXI PHARMACEUTICALS CORP 13.000 3.51 RYDER SYSTEM INC 7,336.000 475,226.08 RYMAN HOSPITALITY PROPERTIES I 6,862.000 353,255.76 RYOHIN KEIKAKU CO LTD 69,100.000 14,632,145.67 S FOODS INC 242,000.000 5,240,695.80 S&T BANCORP INC 7,069.000 182,097.44 SABINE OIL & GAS CORP 12,549.000 150.59 SABMILLER PLC 128,223.000 7,843,591.71 SABRA HEALTH CARE REIT INC 30,217.000 607,059.53 SAETA YIELD SA 121,740.000 1,212,489.86 SAFEGUARD SCIENTIFICS INC 2,264.000 29,998.00 SAFETY INSURANCE GROUP INC 1,855.000 105,846.30 SAFEWAY CASA LEY CVR 25,314.000 25,691.18 SAFEWAY PDC LLC CVR 25,314.000 1,235.33 SAGA COMMUNICATIONS INC 927.000 37,135.62 SAGE GROUP PLC/THE 860,000.000 7,774,930.62 SAGENT PHARMACEUTICALS INC 7,332.000 89,230.44 SAIA INC 3,647.000 102,663.05 SALEM MEDIA GROUP INC 2,817.000 16,225.92 SALESFORCE.COM INC 127,395.000 9,405,572.85 SAMPO OYJ 368,458.000 17,525,637.35 SAMSUNG ELECTRONICS CO LTD 8,900.000 10,210,567.57 SANCHEZ ENERGY CORP 8,720.000 47,872.80 SANDERSON FARMS INC 4,777.000 430,789.86 SANDISK CORP 27,563.000 2,096,993.04 SANDY SPRING BANCORP INC 2,267.000 63,090.61 SANGAMO BIOSCIENCES INC 12,891.000 77,990.55 SANMINA CORP 11,761.000 274,972.18 SANOFI 116,400.000 9,399,126.92 SANTANDER CONSUMER USA HOLDING 39,900.000 418,551.00 SANTEN PHARMACEUTICAL CO LTD 530,000.000 7,983,362.30 SAREPTA THERAPEUTICS INC 3,970.000 77,494.40 SAS AB 1,890,800.000 5,387,824.89 SATCON TECHNOLOGY CORP 1,198.000 2.27 SAUL CENTERS INC 2,465.000 130,694.30 SAVIENT PHARMACEUTICALS INC 19,061.000 0.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 74 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

SCAN OPTICS 8,600.000 0.00 SCANA CORP 19,597.000 1,374,729.55 SCANSOURCE INC 3,637.000 146,862.06 SCHEID VINEYARDS INC 660.000 19,800.00 SCHLOTZSKY'S INC 2,581.000 19.36 SCHLUMBERGER LTD 171,844.000 12,673,495.00 SCHNITZER STEEL INDUSTRIES INC 5,012.000 92,421.28 SCHOLASTIC CORP 5,382.000 201,125.34 SCHWEITZER-MAUDUIT INTERNATION 6,674.000 210,097.52 SCICLONE PHARMACEUTICALS INC 7,577.000 83,347.00 SCIENCE APPLICATIONS INTERNATI 5,271.000 281,155.14 SCIENTIFIC GAMES CORP 10,503.000 99,043.29 SCIQUEST INC 3,934.000 54,603.92 SCO GROUP INC/THE 6,400.000 128.00 SCOPE INDUSTRIES 304.000 38,608.00 SCORPIO TANKERS INC 6,900.000 40,227.00 SCRIPPS NETWORKS INTERACTIVE I 13,008.000 852,024.00 SEABOARD CORP 75.000 225,225.75 SEACHANGE INTERNATIONAL INC 4,185.000 23,101.20 SEACOAST BANKING CORP OF FLORI 401.000 6,331.79 SEACOR HOLDINGS INC 3,182.000 173,259.90 SEAGATE TECHNOLOGY PLC 40,646.000 1,400,254.70 SEALED AIR CORP 51,825.000 2,488,118.25 SEASPINE HOLDINGS CORP 1,176.000 17,216.64 SEAWORLD ENTERTAINMENT INC 10,400.000 219,024.00 SECURE ENERGY SERVICES INC 144A 6,800.000 60,500.00 SECURITY NATIONAL FINANCIAL CO 1,387.000 7,059.83 SED INTERNATIONAL HOLDINGS INC 2,356.000 0.00 SELECT COMFORT CORP 8,777.000 170,186.03 SELECT INCOME REIT 3,884.000 89,526.20 SELECT MEDICAL HOLDINGS CORP 13,623.000 160,887.63 SELECTIVE INSURANCE GROUP INC 8,421.000 308,292.81 SEMGROUP CORP 6,554.000 146,809.60 SEMPRA ENERGY 32,333.000 3,364,248.65 SEMTECH CORP 10,703.000 235,358.97 SENOMYX INC 2,464.000 6,406.40 SENSIENT TECHNOLOGIES CORP 8,664.000 549,817.44 SEQUENOM INC 8,895.000 12,541.95 SEQUENTIAL BRANDS GROUP INC 571.000 3,648.69

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 75 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

SERVISFIRST BANCSHARES INC 2,798.000 124,231.20 SERVOTRONICS INC 280.000 2,060.80 SEVCON INC 896.000 9,004.80 SEVERN BANCORP INC 1,190.000 6,009.50 SGS SA 3,700.000 7,850,884.97 SHANGHAI PHARMACEUTICALS HOLDI 3,191,100.000 6,302,757.27 SHARPER IMAGE CORP 2,100.000 5.51 SHELL MIDSTREAM PARTNERS LP 80,803.000 2,958,197.83 SHELLS SEAFOOD RESTAURANTS 44.000 0.02 SHENANDOAH TELECOMMUNICATIONS 9,488.000 253,804.00 SHERWIN-WILLIAMS CO/THE 19,854.000 5,651,838.18 SHILOH INDUSTRIES INC 3,998.000 20,509.74 SHIP FINANCE INTERNATIONAL LTD 6,849.000 95,132.61 SHIRE PLC 470,200.000 26,755,652.82 SHOE CARNIVAL INC 2,615.000 70,500.40 SHOLODGE INC 1,650.000 7.75 SHORE BANCSHARES INC 1,976.000 23,672.48 SHORETEL INC 1,820.000 13,540.80 SHUTTERFLY INC 5,890.000 273,119.30 SHUTTERSTOCK INC 3,550.000 130,391.50 SIEBERT FINANCIAL CORP 5,735.000 7,283.45 SIEMENS AG 89,400.000 9,489,727.98 SIENTRA INC 1,100.000 7,524.00 SIERRA BANCORP 424.000 7,695.60 SIFCO INDUSTRIES INC 1,221.000 11,343.09 SIGA TECHNOLOGIES INC 1,413.000 748.89 SIGHT RESOURCE CORP 200.000 0.00 SIGMA DESIGNS INC 3,926.000 26,696.80 SIGMATRON INTERNATIONAL INC 585.000 3,632.85 SIGNET JEWELERS LTD 67,773.000 8,405,885.19 SILICON GRAPHICS INC COM 11,800.000 0.00 SILICON GRAPHICS INTERNATIONAL 3,512.000 25,005.44 SILICON LABORATORIES INC 7,380.000 331,804.80 SILVER BAY REALTY TRUST CORP 4,724.000 70,151.40 SILVER SPRING NETWORKS INC 3,400.000 50,150.00 SIMCLAR INC 700.000 2.10 SIMMONS FIRST NATIONAL CORP 4,171.000 187,986.97 SIMON PROPERTY GROUP INC 69,427.000 14,419,293.63 SIMPSON MANUFACTURING CO INC 7,475.000 285,320.75

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 76 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

SINCLAIR BROADCAST GROUP INC 8,756.000 269,247.00 SINGAPORE TELECOMMUNICATIONS L 461,637.000 1,309,559.89 SISTEMA JSFC GDR 121,800.000 786,828.00 SIZMEK INC 7,253.000 21,033.70 SJW CORP 3,793.000 137,875.55 SK TELECOM CO LTD 35,200.000 6,417,631.33 SKF AB 415,600.000 7,515,630.28 SKY NETWORK TELEVISION LTD 1,531,200.000 5,294,298.56 SKYLINE CORP 3,554.000 32,945.58 SKYWEST INC 9,361.000 187,126.39 SKYWORKS SOLUTIONS INC 65,297.000 5,086,636.30 SL GREEN REALTY CORP 69,950.000 6,776,756.00 SM ENERGY CO 8,800.000 164,912.00 SMART REIT VARIABLE VTG UNIT 29,680.000 778,570.80 SMF ENERGY CORP 441.000 32.80 SMITH & WESSON HOLDING CORP 8,156.000 217,112.72 SMITH MICRO SOFTWARE INC 3,286.000 1,938.74 SMURFIT-STONE CONTAINER CORP CONTRA 9,700.000 0.00 SNAM SPA 881,381.000 5,529,099.35 SNAP-ON INC 7,966.000 1,250,582.34 SNYDER'S-LANCE INC 10,672.000 335,954.56 SOCKET MOBILE INC 564.000 1,692.00 SOFTBANK GROUP CORP 178,900.000 8,541,104.20 SOFTECH INC 157.000 221.37 SOJITZ CORP 2,935,800.000 6,033,807.60 SOLAREDGE TECHNOLOGIES INC 2,200.000 55,308.00 SOLIGENIX INC 57.000 11.40 SOLITARIO EXPLORATION & ROYALT 40.000 18.80 SONIC AUTOMOTIVE INC 12,483.000 230,685.84 SONIC CORP 8,633.000 303,536.28 SONUS NETWORKS INC 6,109.000 46,000.77 SORRENTO THERAPEUTICS INC 4,100.000 22,058.00 SOTHEBY'S 10,907.000 291,544.11 SOUTH JERSEY INDUSTRIES INC 10,620.000 302,139.00 SOUTH STATE CORP 4,114.000 264,242.22 SOUTHERN CO/THE 149,117.000 7,713,822.41 SOUTHERN MINERAL CORP WTS TO PUR COM 10/13/00 EXP 211.000 0.00 SOUTHSIDE BANCSHARES INC 3,075.000 80,165.25 SOUTHWEST AIRLINES CO 87,493.000 3,919,686.40

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 77 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

SOUTHWEST BANCORP INC 2,049.000 30,837.45 SOUTHWEST GAS CORP 8,039.000 529,368.15 SOUTHWESTERN ENERGY CO 53,431.000 431,188.17 SOVRAN SELF STORAGE INC 5,819.000 686,351.05 SP PLUS CORP 2,487.000 59,837.22 SPAN-AMERICA MEDICAL SYSTEMS I 1,742.000 33,115.42 SPANISH BROADCASTING SYSTEM IN 375.000 1,256.25 SPARK ENERGY INC 1,100.000 19,800.00 SPARK INFRASTRUCTURE GROUP 1,723,348.000 2,744,168.88 SPARK INFRASTRUCTURE GROUP RTS 124,763.000 18,235.05 SPARK NEW ZEALAND LTD 2,972,200.000 7,532,134.38 SPARTAN MOTORS INC 5,691.000 22,479.45 SPARTANNASH CO 11,187.000 339,077.97 SPARTON CORP 4,534.000 81,566.66 SPECIAL DIVERSIFIED OPPORTUNIT 4,862.000 4,376.28 SPECTRA ENERGY CORP 92,077.000 2,817,556.20 SPECTRA ENERGY PARTNERS LP 97,692.000 4,700,939.04 SPECTRANETICS CORP/THE 6,687.000 97,095.24 SPECTRUM GROUP INTERNATIONAL I 1.456 910.00 SPECTRUM PHARMACEUTICALS INC 15,587.000 99,133.32 SPEED COMMERCE INC 4,862.000 34.03 SPEEDUS CORP 1,690.000 25.88 SPEEDWAY MOTORSPORTS INC 6,051.000 119,991.33 SPHERE 3D CORP 73.000 90.52 SPIRE CORP 3,525.000 95.14 SPIRE HEALTHCARE GROUP PLC 1,340,321.000 6,915,931.71 SPIRIT AEROSYSTEMS HOLDINGS IN 34,700.000 1,573,992.00 SPOK HOLDINGS INC 6,270.000 109,787.70 SPORT-HALEY HOLDINGS INC 1,950.000 39.00 SPS COMMERCE INC 2,364.000 101,510.16 SPS TECHNOLOGIES INC 6,300.000 0.00 SPX FLOW INC 38,350.000 961,818.00 SSE PLC 31,135.000 667,675.00 ST JAMES'S PLACE PLC 770,351.000 10,169,866.15 ST JOE CO/THE 7,700.000 132,055.00 ST JUDE MEDICAL INC 38,890.000 2,138,950.00 STAAR SURGICAL CO 8,700.000 64,293.00 STADA ARZNEIMITTEL AG 175,000.000 6,956,810.30 STAG INDUSTRIAL INC 61,449.000 1,251,101.64

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 78 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

STAGE STORES INC 7,601.000 61,264.06 STAMPS.COM INC 3,422.000 363,690.16 STANDARD MOTOR PRODUCTS INC 1,989.000 68,918.85 STANDEX INTERNATIONAL CORP 5,390.000 419,395.90 STANLEY BLACK & DECKER INC 53,598.000 5,639,045.58 STANLEY FURNITURE CO INC 2,848.000 7,547.20 STANTEC INC 1,059.000 26,856.24 STAPLES INC 88,547.000 976,673.41 STAR BUFFET INC 762.000 622.10 STAR STRUCK LTD 262.000 1.31 STARBUCKS CORP 241,719.000 14,430,624.30 START TODAY CO LTD 190,000.000 7,674,718.68 STARTEK INC 1,532.000 6,434.40 STARWOOD EUROPEAN REAL ESTAT 641,202.000 976,895.61 STARWOOD HOTELS & RESORTS WORL 23,140.000 1,930,570.20 STARWOOD PROPERTY TRUST INC 60,294.000 1,141,365.42 STATE AUTO FINANCIAL CORP 5,820.000 128,389.20 STATE STREET CORP 54,851.000 3,209,880.52 STEELCASE INC 84,414.000 1,259,456.88 STEELCLOUD INC 3,106.000 0.00 STEIN MART INC 6,186.000 45,343.38 STEMCELLS INC 735.000 191.54 STEMLINE THERAPEUTICS INC 2,880.000 13,420.80 STEPAN CO 2,716.000 150,167.64 STEPHAN CO/THE 1,912.000 2,141.44 STEREOTAXIS INC 158.000 173.80 STERICYCLE INC 11,654.000 1,470,618.26 STERIS PLC 63,198.000 4,490,217.90 STERLING BANCORP/DE 129,270.000 2,059,271.10 STERLING CONSTRUCTION CO INC 582.000 2,997.30 STEVEN MADDEN LTD 9,989.000 369,992.56 STEWART INFORMATION SERVICES C 6,508.000 236,110.24 STIFEL FINANCIAL CORP 9,717.000 287,623.20 STILLWATER MINING CO 15,550.000 165,607.50 STOCK YARDS BANCORP INC 11,793.000 454,384.29 STONE ENERGY CORP 9,377.000 7,407.83 STONERIDGE INC 3,919.000 57,060.64 STORAGE ENGINE INC COM 1,650.000 0.50 STORE CAPITAL CORP 5,010.000 129,658.80

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 79 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

STRAIGHT PATH COMMUNICATIONS I 2,890.000 89,676.70 STRASBAUGH INC 204.000 1.22 STRATA SKIN SCIENCES INC 236.000 223.02 STRATASYS LTD 7,100.000 184,032.00 STRATTEC SECURITY CORP 664.000 38,106.96 STRATUS PROPERTIES INC 2,106.000 50,038.56 STRAYER EDUCATION INC 1,796.000 87,555.00 STREAMLINE HEALTH SOLUTIONS IN 2,646.000 3,730.86 STRYKER CORP 42,961.000 4,609,285.69 STURM RUGER & CO INC 4,191.000 286,580.58 STYLECLICK INC 3,762.000 3.76 SUCAMPO PHARMACEUTICALS INC 6,060.000 66,235.80 SUFFOLK BANCORP 1,655.000 41,772.20 SUGARMADE INC 80.000 3.20 SUGGESTION BOX INC 208.000 1.14 SULPHCO INC 2,843.000 0.00 SUMITOMO MITSUI FINANCIAL GROU 142,900.000 4,338,047.10 SUMMIT HOTEL PROPERTIES INC 7,451.000 89,188.47 SUN BANCORP INC/NJ 512.000 10,603.52 SUN COMMUNITIES INC 6,573.000 470,692.53 SUN HYDRAULICS CORP 4,406.000 146,235.14 SUN LIFE FINANCIAL INC 8,900.000 287,203.00 SUNCOKE ENERGY INC 5,399.000 35,093.50 SUNCOR ENERGY INC 89,900.000 2,500,119.00 SUNLINK HEALTH SYSTEMS INC 1,775.000 834.25 SUNOCO LOGISTICS PARTNERS LP 223,124.000 5,593,718.68 SUNPOWER CORP 5,283.000 118,022.22 SUNRISE TELECOM INC 8,049.000 206.86 SUNSTONE HOTEL INVESTORS INC 265,805.195 3,721,272.73 SUNTORY BEVERAGE & FOOD LTD 138,000.000 6,225,010.05 SUNTRUST BANKS INC 80,246.000 2,895,275.68 SUPER MICRO COMPUTER INC 4,600.000 156,768.00 SUPERCONDUCTOR TECHNOLOGIES IN 79.000 15.10 SUPERIOR BANCORP 1,987.000 1.97 SUPERIOR ENERGY SERVICES INC 13,400.000 179,426.00 SUPERIOR INDUSTRIES INTERNATIO 4,165.000 91,963.20 SUPERIOR UNIFORM GROUP INC 1,792.000 31,933.44 SUPERNUS PHARMACEUTICALS INC 7,450.000 113,612.50 SUPERVALU INC 25,369.000 146,125.44

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 80 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

SUPPORT.COM INC 3,641.000 3,131.26 SUPREME INDUSTRIES INC 2,404.000 21,251.36 SURGICAL CARE AFFILIATES INC 2,900.000 134,212.00 SURMODICS INC 3,899.000 71,780.59 SWEDBANK AB 230,902.000 4,981,652.19 SWIFT ENERGY CO 7,937.000 984.82 SWIFT TRANSPORTATION CO 11,792.000 219,684.96 SWISS LIFE HOLDING AG 25,400.000 6,781,997.60 SWK HOLDINGS CORP 713.000 7,165.65 SYCAMORE NETWORKS INC 3,701.000 1,443.39 SYDNEY AIRPORT 757,941.000 3,900,578.51 SYKES ENTERPRISES INC 11,973.000 361,345.14 SYMANTEC CORP 89,433.000 1,643,778.54 SYMMETRY SURGICAL INC 2,603.000 25,665.58 SYMRISE AG 521,349.000 35,052,091.92 SYNALLOY CORP 2,020.000 15,998.40 SYNAPTICS INC 5,513.000 439,606.62 SYNCHRONOSS TECHNOLOGIES INC 12,177.000 393,804.18 SYNCHRONY FINANCIAL 404,211.000 11,584,687.26 SYNERGETICS USA INC COM 2,498.000 0.00 SYNERGY PHARMACEUTICALS INC 2,800.000 7,728.00 SYNERGY RESOURCES CORP 6,400.000 49,856.00 SYNERON MEDICAL LTD 1,640.000 11,988.40 SYNNEX CORP 3,654.000 338,323.86 SYNOVUS FINANCIAL CORP 4,715.000 136,310.65 SYNTA PHARMACEUTICALS CORP 3,281.000 787.44 SYNTEL INC 6,395.000 319,302.35 SYNTHESIS ENERGY SYSTEMS INC 5,399.000 6,046.88 SYNTROLEUM CORP 1,138.000 0.00 SYNUTRA INTERNATIONAL INC 555.000 2,758.35 SYPRIS SOLUTIONS INC 3,998.000 3,798.10 SYSCO CORP 100,600.000 4,701,038.00 SYSTEMAX INC 5,289.000 46,384.53 T ROWE PRICE GROUP INC 34,030.000 2,499,843.80 T2 BIOSYSTEMS INC 1,950.000 19,227.00 TAILORED BRANDS INC 8,167.000 146,189.30 TAITRON COMPONENTS INC 3,971.000 3,574.30 TAKE-TWO INTERACTIVE SOFTWARE 10,413.000 392,257.71 TAL EDUCATION GROUP ADR 111,000.000 5,514,480.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 81 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

TAL INTERNATIONAL GROUP INC 7,264.000 112,156.16 TALANX AG 219,600.000 7,509,857.85 TALMER BANCORP INC 2,800.000 50,652.00 TALON INTERNATIONAL INC 3,150.000 472.50 TANDY BRANDS ACCESSORIES INC 1,325.000 1.33 TANGOE INC 2,694.000 21,255.66 TARGA RESOURCES CORP 35,424.000 1,057,760.64 TARGANTA THERAPEUTICS ESCROW 1,200.000 0.00 TARGET CORP 172,103.000 14,160,634.84 TARRAGON CORP 10,464.000 0.00 TASER INTERNATIONAL INC 6,418.000 125,985.34 TASSAL GROUP LTD 2,213,700.000 6,505,034.93 TAXUS CARDIUM PHARMACEUTICALS 65.000 9.11 TAYLOR DEVICES INC 545.000 8,006.05 TC PIPELINES LP 902.000 43,494.44 TCF FINANCIAL CORP 23,968.000 293,847.68 TCL COMMUNICATION TECHNOLOGY H 5,545,000.000 3,645,886.38 TE CONNECTIVITY LTD 50,691.000 3,138,786.72 TEAM FINANCIAL INC 4,300.000 0.00 TEAM HEALTH HOLDINGS INC 10,868.000 454,391.08 TEAM INC 5,885.000 178,786.30 TECH DATA CORP 5,921.000 454,555.17 TECHNICAL COMMUNICATIONS CORP 144.000 377.28 TECHNOLOGY SOLUTIONS CO 920.000 5.52 TECO ENERGY INC 32,291.000 888,971.23 TEEKAY TANKERS LTD 1,941.000 7,123.47 TEGNA INC 186,638.000 4,378,527.48 TEJON RANCH CO 4,276.000 87,957.32 TEKNOWLEDGE CORP 2,012.000 0.00 TELEDYNE TECHNOLOGIES INC 5,936.000 523,199.04 TELENOR ASA 505,280.000 8,179,778.37 TELEPHONE & DATA SYSTEMS INC 2,637.000 79,347.33 TELETECH HOLDINGS INC 8,609.000 238,985.84 TELETOUCH COMMUNICATIONS INC 3,106.000 1.24 TELEVIDEO INC/CA 2,143.000 0.40 TELIGENT INC 657.000 3,219.30 TENAGA NASIONAL BHD 2,323,900.000 8,303,259.25 TENCENT HOLDINGS LTD 598,700.000 12,226,322.26 TENET HEALTHCARE CORP 13,510.000 390,844.30

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 82 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

TENGASCO INC 340.000 462.40 TENNANT CO 2,218.000 114,182.64 TENNECO INC 8,953.000 461,169.03 TERADATA CORP 26,637.000 698,954.88 TERRAFORM POWER INC 5,600.000 48,440.00 TERRENO REALTY CORP 4,770.000 111,856.50 TESARO INC 4,430.000 195,052.90 TESORO CORP 78,463.000 6,748,602.63 TESORO LOGISTICS LP 83,491.000 3,812,199.06 TESSCO TECHNOLOGIES INC 6,872.000 114,418.80 TESSERA TECHNOLOGIES INC 6,602.000 204,662.00 TETON ENERGY CORP COM 4,100.000 0.00 TETRA TECH INC 10,228.000 304,998.96 TETRA TECHNOLOGIES INC 10,885.000 69,119.75 TETRAPHASE PHARMACEUTICALS INC 6,689.000 30,970.07 TEVA PHARMACEUTICAL INDUSTRIES ADR 221,080.000 11,829,990.80 TEXAS CAPITAL BANCSHARES INC 6,117.000 234,770.46 TEXAS INSTRUMENTS INC 137,842.000 7,914,887.64 TEXAS ROADHOUSE INC 8,895.000 387,644.10 TEXTAINER GROUP HOLDINGS LTD 7,799.000 115,737.16 TEXTMUNICATION HOLDINGS INC 167.000 6.68 TEXTRON INC 37,184.000 1,355,728.64 TG THERAPEUTICS INC 3,950.000 33,654.00 TGS NOPEC GEOPHYSICAL CO ASA 255,600.000 3,902,950.57 THERAPEUTICSMD INC 10,930.000 69,296.20 THERMO FISHER SCIENTIFIC INC 54,336.000 7,693,434.24 THESTREET INC 7,824.000 9,701.76 THIRD POINT REINSURANCE LTD 4,236.000 48,163.32 THOMAS GROUP INC 367.000 2.61 THOMSON REUTERS CORP 18,670.000 755,761.60 THOR INDUSTRIES INC 4,944.000 315,278.88 THQ INC 896.000 12.32 TIDEWATER INC 273.000 1,864.59 TIFFANY & CO 15,295.000 1,122,347.10 TIMBERLAND BANCORP INC/WA 3,633.000 45,921.12 TIME INC 129,578.000 2,000,684.32 TIME WARNER CABLE INC 38,842.000 7,947,850.04 TIME WARNER INC 151,697.000 11,005,617.35 TIMKENSTEEL CORP 2,700.000 24,570.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 83 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

TITAN INTERNATIONAL INC 7,743.000 41,657.34 TITAN MACHINERY INC 2,137.000 24,703.72 TITAN PHARMACEUTICALS INC 1,907.000 9,058.25 TIVO INC 16,791.000 159,682.41 TJX COS INC/THE 162,416.000 12,725,293.60 TL ADMIN CORP COM 29,100.000 0.00 TOMPKINS FINANCIAL CORP 1,534.000 98,176.00 TONGDA GROUP HOLDINGS LTD 30,830,000.000 6,160,793.13 TONIX PHARMACEUTICALS HOLDING 3,200.000 7,712.00 TOOTSIE ROLL INDUSTRIES INC 7,446.900 260,194.68 TOPBUILD CORP 1,700.000 50,558.00 TOR MINERALS INTERNATIONAL INC 260.000 881.40 TORCHMARK CORP 15,464.000 837,530.24 TOROTEL INC 525.000 446.25 TOTAL SA 459,798.000 20,989,950.20 TOTAL SYSTEM SERVICES INC 23,107.000 1,099,431.06 TOWA PHARMACEUTICAL CO LTD 104,100.000 4,274,402.81 TOWER AUTOMOTIVE INC 33,100.000 0.00 TOWNE BANK/PORTSMOUTH VA 4,127.000 79,197.13 TRACTOR SUPPLY CO 18,339.000 1,658,945.94 TRANS WORLD ENTERTAINMENT CORP 7,403.000 26,946.92 TRANS-INDUSTRIES INC 1,700.000 1.70 TRANSACT TECHNOLOGIES INC 2,916.000 23,736.24 TRANSALTA RENEWABLES INC 16,582.000 162,172.72 TRANSCAT INC 3,210.000 32,549.40 TRANSCOASTAL CORP 23.000 0.28 TRANSDIGM GROUP INC 10,700.000 2,357,638.00 TRANSENTERIX INC 166.000 707.16 TRANSGENOMIC INC 619.000 368.31 TRANSMISSORA ALIANCA DE ENERGI 164,408.000 934,305.05 TRANSMONTAIGNE PARTNERS LP 11,286.000 413,631.90 TRANSNET CORP 481.000 0.00 TRANSOCEAN LTD 254,032.000 2,321,852.48 TRANSURBAN GROUP 966,825.000 8,441,336.99 TRANSWITCH CORP 1,935.000 1.27 TRAVELERS COS INC/THE 55,348.000 6,459,665.08 TRAVELPORT WORLDWIDE LTD 15,900.000 217,194.00 TRAVELZOO INC 5,804.000 47,128.48 TRC COS INC 2,128.000 15,428.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 84 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

TRECORA RESOURCES 1,290.000 12,409.80 TREDEGAR CORP 6,011.000 94,492.92 TREEHOUSE FOODS INC 5,676.000 492,393.00 TREX CO INC 33,132.000 1,588,016.76 TRI POINTE GROUP INC 13,546.000 159,571.88 TRI-VALLEY CORP 1,094.000 0.10 TRIAD GUARANTY INC 2,231.000 95.00 TRIAN ACQUISITION I 7,030.000 0.00 TRIANGLE PETROLEUM CORP 7,001.000 3,796.65 TRICO BANCSHARES 833.000 21,091.56 TRICO MARINE SERVICES INC/UNIT 1,890.000 0.00 TRINITY PLACE HOLDINGS INC 2,476.000 16,985.36 TRINSEO SA 785.000 28,895.85 TRIO-TECH INTERNATIONAL 859.000 2,731.62 TRIPADVISOR INC 15,621.000 1,038,796.50 TRIPLE CROWN MEDIA INC 983.000 0.20 TRIPLE-S MANAGEMENT CORP 9,959.000 247,580.74 TRITAX BIG BOX REIT PLC 181,168.000 350,228.29 TRIUMPH GROUP INC 7,400.000 232,952.00 TROPICAL SPORTSWEAR INTL CORP COM 10,340.000 0.00 TROVAGENE INC 4,400.000 20,460.00 TRUEBLUE INC 6,337.000 165,712.55 TRUMP CASINO HOLDINGS 1,275.000 0.00 TRUMP ENTMT RESORTS INC COM 7,644.000 43.57 TRUMP HOTELS & CASINO RESORTS INC COM 16,500.000 0.00 TRUSTCO BANK CORP NY 10,851.000 65,757.06 TRUSTMARK CORP 11,001.000 253,353.03 TS TECH CO LTD 247,300.000 5,795,526.54 TSR INC 795.000 2,941.50 TTM TECHNOLOGIES INC 20,667.000 137,435.55 TUESDAY MORNING CORP 4,703.000 38,470.54 TUMI HOLDINGS INC 7,273.000 195,061.86 TURKIYE SINAI KALKINMA BANKASI 6,243,600.000 3,658,749.16 TURTLE BEACH CORP 1,960.000 2,234.40 TUTOR PERINI CORP 4,799.000 74,576.46 TWENTY-FIRST CENTURY FOX INC 345,097.000 9,640,225.00 TWIN DISC INC 1,688.000 17,099.44 TWO RIVERS WATER & FARMING CO 199.000 107.86 TYCO INTERNATIONAL PLC 58,224.000 2,137,403.04

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 85 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

TYLER TECHNOLOGIES INC 7,024.000 903,356.64 TYSON FOODS INC 80,190.000 5,345,465.40 UBIQUITI NETWORKS INC 4,673.000 155,470.71 UDR INC 36,630.000 1,411,353.90 UFP TECHNOLOGIES INC 2,624.000 58,436.48 ULTIMATE LIFESTYLE CORP 20.000 0.01 ULTRA CLEAN HOLDINGS INC 2,674.000 14,332.64 ULTRA PETROLEUM CORP 12,934.000 6,441.13 ULTRAGENYX PHARMACEUTICAL INC 909.000 57,548.79 ULTRALIFE CORP 2,108.000 10,792.96 ULTRAPETROL BAHAMAS LTD 1,582.000 427.14 ULTRATECH INC 4,192.000 91,553.28 UMB FINANCIAL CORP 7,179.000 370,651.77 UMH PROPERTIES INC 2,915.000 28,916.80 UMICORE SA 196,794.000 9,811,226.37 UMPQUA HOLDINGS CORP 31,028.000 492,104.08 UNDER ARMOUR INC 24,908.000 2,112,945.64 UNICO AMERICAN CORP 844.000 8,018.00 UNICORP INC COMPAR $0.01 NEW 7,800.000 0.98 UNIFIRST CORP/MA 3,376.000 368,389.12 UNIGENE LABORATORIES INC 9,893.000 1.98 UNILEVER PLC ADR 14,975.000 676,570.50 UNION BANKSHARES CORP 5,452.000 134,282.76 UNION PACIFIC CORP 183,892.000 14,628,608.60 UNISYS CORP 6,641.000 51,135.70 UNIT CORP 4,200.000 37,002.00 UNITED AMERICAN HEALTHCARE COR 1,094.000 5.82 UNITED ARROWS LTD 129,100.000 5,346,861.55 UNITED BANKSHARES INC/WV 9,400.000 344,980.00 UNITED COMMUNITY BANKS INC/GA 7,453.000 137,656.91 UNITED COMMUNITY FINANCIAL COR 6,947.000 40,778.89 UNITED CONTINENTAL HOLDINGS IN 98,603.000 5,902,375.58 UNITED FINANCIAL BANCORP INC 5,075.000 63,894.25 UNITED FIRE GROUP INC 4,204.000 184,219.28 UNITED NATURAL FOODS INC 7,622.000 307,166.60 UNITED ONLINE INC 2,030.000 23,426.20 UNITED OVERSEAS BANK LTD 502,800.000 7,045,771.57 UNITED PARCEL SERVICE INC 119,930.000 12,649,017.10 UNITED RENTALS INC 12,474.000 775,758.06

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 86 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

UNITED SECURITY BANCSHARES/FRE 990.809 4,904.51 UNITED STATES LIME & MINERALS 2,339.000 140,363.39 UNITED STATES STEEL CORP 21,600.000 346,680.00 UNITED TECHNOLOGIES CORP 106,664.000 10,677,066.40 UNITED THERAPEUTICS CORP 14,650.000 1,632,449.50 UNITED WESTERN BANCORP INC 2,275.000 79.63 UNITED-GUARDIAN INC 657.000 13,580.19 UNITEDHEALTH GROUP INC 130,358.000 16,803,146.20 UNITIL CORP 3,869.000 164,393.81 UNITY BANCORP INC 1,662.000 18,896.94 UNIVERSAL ACCESS GLOBAL HLDGS INC COM NEW 3,380.000 0.00 UNIVERSAL AMERICAN CORP/NY 11,220.000 80,110.80 UNIVERSAL CORP/VA 3,395.000 192,869.95 UNIVERSAL DISPLAY CORP 9,878.000 534,399.80 UNIVERSAL ELECTRONICS INC 2,292.000 142,081.08 UNIVERSAL FOREST PRODUCTS INC 2,975.000 255,314.50 UNIVERSAL HEALTH INTERNATIONAL 11,987,000.000 1,313,593.03 UNIVERSAL HEALTH REALTY INCOME 15,025.000 845,156.25 UNIVERSAL HEALTH SERVICES INC 12,394.000 1,545,779.68 UNIVERSAL STAINLESS & ALLOY PR 2,436.000 24,822.84 UNIVERSAL TECHNICAL INSTITUTE 5,737.000 24,726.47 UNIVERSAL TRUCKLOAD SERVICES I 2,085.000 34,339.95 UNIVEST CORP OF PENNSYLVANIA 354.000 6,906.54 UNUM GROUP 40,052.000 1,238,407.84 UNWIRED PLANET INC 998.000 9,830.30 UPM-KYMMENE OYJ 437,600.000 7,938,779.91 UQM TECHNOLOGIES INC 3,665.000 2,096.74 URANIUM ENERGY CORP 2,205.000 1,649.34 URANIUM RESOURCES INC 97.000 248.32 URBAN OUTFITTERS INC 11,905.000 393,936.45 UROLOGIX INC 2,793.000 11.17 URSTADT BIDDLE PROPERTIES INC 24,827.000 520,125.65 US BANCORP 311,104.000 12,627,711.36 US CONCRETE INC 400.000 23,824.00 US ECOLOGY INC 2,995.000 132,259.20 US ENERGY CORP WYOMING 2,411.000 880.02 US GEOTHERMAL INC 6,387.000 4,324.00 US GLOBAL INVESTORS INC 475.000 821.75 US PHYSICAL THERAPY INC 4,821.000 239,748.33

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 87 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

US PLASTIC LMBR CORP COM 29,600.000 0.00 US SILICA HOLDINGS INC 8,731.000 198,368.32 USA TRUCK INC 1,742.000 32,819.28 USANA HEALTH SCIENCES INC 3,348.000 406,514.16 USG CORP 72,280.000 1,793,266.80 UTAH MEDICAL PRODUCTS INC 1,837.000 114,885.98 UTG INC 513.000 7,828.38 UTSTARCOM HOLDINGS CORP 5,646.000 10,388.64 V ONE CORP COM 2,000.000 0.25 VAALCO ENERGY INC 7,924.000 7,448.56 VAIL RESORTS INC 16,982.000 2,270,493.40 VALENCE TECHNOLOGY INC 14,867.000 0.00 VALEO SA 148,574.000 23,161,266.24 VALERO ENERGY CORP 147,541.000 9,463,279.74 VALERO ENERGY PARTNERS LP 44,414.000 2,103,447.04 VALLEY MEDIA INC COM 11,100.000 2.22 VALLEY NATIONAL BANCORP 29,026.000 276,908.04 VALUE AMER INC COM 290.000 0.29 VALUE LINE INC 2,953.000 47,336.59 VANDA PHARMACEUTICALS INC 6,151.000 51,422.36 VANTIV INC 29,540.000 1,591,615.20 VARIAN MEDICAL SYSTEMS INC 13,096.000 1,047,941.92 VASCO DATA SECURITY INTERNATIO 3,525.000 54,285.00 VASCULAR SOLUTIONS INC 2,792.000 90,823.76 VASOMEDICAL INC 17,910.000 2,865.60 VCAMPUS CORP 271.000 0.17 VECTOR GROUP LTD 11,712.000 267,502.08 VECTOR LTD 749,728.000 1,707,358.57 VECTREN CORP 14,197.000 717,800.32 VEECO INSTRUMENTS INC 8,569.000 166,924.12 VENAXIS INC 5.375 14.52 VENTAS INC 68,506.000 4,313,137.76 VEREIT INC 169,019.000 1,499,198.53 VERESEN INC 104,548.000 708,868.50 VERICEL CORP 101.000 591.86 VERIFONE SYSTEMS INC 54,180.000 1,530,043.20 VERINT SYSTEMS INC 8,073.000 269,476.74 VERISIGN INC 34,809.000 3,081,988.86 VERISK ANALYTICS INC 21,197.000 1,694,064.24

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 88 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

VERIZON COMMUNICATIONS INC 682,361.000 36,902,082.88 VERSAR INC 1,098.000 2,657.16 VERSARTIS INC 3,150.000 25,263.00 VERSO CORP 6,614.000 178.58 VERTEX PHARMACEUTICALS INC 33,785.000 2,685,569.65 VESTIN REALTY MORTGAGE II INC 400.000 700.00 VF CORP 84,236.000 5,455,123.36 VIACOM INC 47,506.000 1,961,047.68 VIAD CORP 6,386.000 186,215.76 VIASAT INC 6,186.000 454,547.28 VIAVI SOLUTIONS INC 18,489.000 126,834.54 VICAL INC 4,057.000 1,586.29 VICON INDUSTRIES INC 1,318.000 1,238.92 VICOR CORP 5,955.000 62,408.40 VIDEO DISPLAY CORP 2,455.000 2,307.70 VIEWCAST.COM INC 6,812.000 5.45 VIEWTRAN GROUP INC 2,440.000 1,512.80 VILLAGE SUPER MARKET INC 1,377.000 33,268.32 VIRCO MANUFACTURING CORP 4,459.000 13,733.72 VIRGIN AMERICA INC 3,800.000 146,528.00 VIRNETX HOLDING CORP 5,367.000 24,634.53 VIRTUS INVESTMENT PARTNERS INC 888.000 69,361.68 VIRTUSA CORP 3,626.000 135,829.96 VISA INC 304,364.000 23,277,758.72 VISHAY INTERTECHNOLOGY INC 20,512.000 250,451.52 VISHAY PRECISION GROUP INC 913.000 12,791.13 VISTA OUTDOOR INC 3,600.000 186,876.00 VITAL THERAPIES INC 2,810.000 25,486.70 VITAMIN SHOPPE INC 3,851.000 119,226.96 VIVENDI SA 283,910.000 5,978,827.76 VIVUS INC 9,029.000 12,640.60 VL DISSOLUTION CORP COM 1,293.000 0.00 VOCERA COMMUNICATIONS INC 6,768.000 86,292.00 VOESTALPINE AG 187,800.000 6,292,890.24 VOLT INFORMATION SCIENCES INC 5,852.000 44,065.56 VONAGE HOLDINGS CORP 21,367.000 97,647.19 VORNADO REALTY TRUST 24,306.000 2,295,215.58 VOXX INTERNATIONAL CORP 5,219.000 23,328.93 VOYA FINANCIAL INC 175,960.000 5,238,329.20

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 89 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

VULCAN INTERNATIONAL CORP 583.000 29,295.75 VULCAN MATERIALS CO 40,011.000 4,223,961.27 W&T OFFSHORE INC 8,422.000 18,444.18 WABASH NATIONAL CORP 10,834.000 143,008.80 WAGEWORKS INC 4,259.000 215,547.99 WAL-MART STORES INC 252,617.000 17,301,738.33 WALGREENS BOOTS ALLIANCE INC 118,336.000 9,968,624.64 WALKER & DUNLOP INC 1,700.000 41,259.00 WALKING CO HOLDINGS INC/THE 3,656.000 10,054.00 WALT DISNEY CO/THE 212,826.000 21,135,750.06 WALTER ENERGY INC 11,600.000 360.76 WALTER INVESTMENT MANAGEMENT C 5,119.000 39,109.16 WANDERPORT CORP 82.000 0.12 WARREN RESOURCES INC 7,704.000 1,314.30 WASHINGTON FEDERAL INC 15,260.000 345,639.00 WASHINGTON REAL ESTATE INVESTM 10,641.000 310,823.61 WASHINGTON TRUST BANCORP INC 5,285.000 197,236.20 WASTE MANAGEMENT INC 65,331.000 3,854,529.00 WATERS CORP 11,142.000 1,469,852.64 WATERSTONE FINANCIAL INC 3,036.000 41,532.48 WATSCO INC 1,306.000 175,970.44 WATTS WATER TECHNOLOGIES INC 4,777.000 263,356.01 WAVE SYSTEMS CORP 137.000 1.69 WAXMAN INDUSTRIES INC 400.000 640.00 WAYNE SAVINGS BANCSHARES INC 4,204.000 50,910.44 WAYSIDE TECHNOLOGY GROUP INC 3,017.000 51,590.70 WD-40 CO 2,579.000 278,557.79 WEB.COM GROUP INC 9,124.000 180,837.68 WEBCO INDUSTRIES INC 241.000 9,459.25 WEBMD HEALTH CORP 3,971.000 248,703.73 WEBSTER FINANCIAL CORP 66,958.000 2,403,792.20 WEC ENERGY GROUP INC 43,282.000 2,599,949.74 WEGENER CORP 4,812.000 45.71 WEIGHT WATCHERS INTERNATIONAL 4,129.000 59,994.37 WEIR GROUP PLC/THE 460,000.000 7,325,630.64 WEIS MARKETS INC 3,622.000 163,207.32 WELLCARE HEALTH PLANS INC 6,660.000 617,715.00 WELLMAN INC COM 15,700.000 0.00 WELLS FARGO & CO 730,272.000 35,315,953.92

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 90 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

WELLS FINANCIAL CORP 141.000 4,455.60 WELLTOWER INC 59,091.000 4,097,369.94 WENDY'S CO/THE 43,445.000 473,116.05 WERELDHAVE NV 36,817.000 2,062,079.02 WERNER ENTERPRISES INC 9,936.000 269,861.76 WESBANCO INC 8,003.000 237,769.13 WEST BANCORPORATION INC 571.000 10,409.33 WEST CORP 7,092.000 161,839.44 WEST MARINE INC 2,176.000 19,779.84 WEST PHARMACEUTICAL SERVICES I 12,894.000 893,812.08 WESTAMERICA BANCORPORATION 4,706.000 229,229.26 WESTELL TECHNOLOGIES INC 11,276.000 13,192.92 WESTERN ALLIANCE BANCORP 11,102.000 370,584.76 WESTERN ASSET MORTGAGE CAPITAL 7,117.000 71,525.85 WESTERN DIGITAL CORP 53,493.000 2,527,009.32 WESTERN GAS EQUITY PARTNERS LP 28,114.000 1,001,982.96 WESTERN GAS PARTNERS LP 92,717.000 4,024,844.97 WESTERN METALS CORP 3,193.000 250.65 WESTERN REFINING INC 12,858.000 374,039.22 WESTERN UNION CO/THE 110,501.000 2,131,564.29 WESTERN WTR CO 9,200.000 0.00 WESTFIELD FINANCIAL INC 4,806.000 40,514.58 WESTMORELAND COAL CO 2,715.000 19,575.15 WESTROCK CO 34,808.000 1,358,556.24 WESTWOOD HOLDINGS GROUP INC 2,685.000 157,475.25 WET SEAL INC/THE 24,433.000 0.00 WEX INC 6,585.000 548,925.60 WEYCO GROUP INC 2,049.000 54,544.38 WEYERHAEUSER CO 211,229.000 6,543,874.42 WGL HOLDINGS INC 9,106.000 659,001.22 WHIRLPOOL CORP 10,590.000 1,909,800.60 WHITBREAD PLC 150,000.000 8,537,562.00 WHITESTONE REIT 5,738.000 72,126.66 WHOLE FOODS MARKET INC 44,512.000 1,384,768.32 WHX CORP COM NEW 6,933.000 0.00 WICKES INC COM 7,200.000 0.00 WILAND INC 58.672 0.00 WILHELMINA INTERNATIONAL INC 1,196.000 7,187.96 WILLBROS GROUP INC 6,106.000 13,005.78

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 91 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

WILLIAMS COS INC/THE 170,001.000 2,731,916.07 WILLIS LEASE FINANCE CORP 2,343.000 50,585.37 WILLIS TOWERS WATSON PLC 18,946.000 2,248,132.36 WILSHIRE BANCORP INC 1,911.000 19,683.30 WINLAND ELECTRONICS INC 1,099.000 2,252.95 WINMARK CORP 538.000 52,713.24 WINNEBAGO INDUSTRIES INC 6,146.000 137,977.70 WINTHROP REALTY TRUST 7,990.000 104,908.70 WINTRUST FINANCIAL CORP 6,285.000 278,676.90 WIRELESS TELECOM GROUP INC 4,135.000 5,458.20 WIRELESS XCESSORIES GROUP 1,262.000 138.95 WISDOMTREE INVESTMENTS INC 14,543.000 166,226.49 WOLSELEY PLC 406,080.000 22,990,319.51 WOLTERS KLUWER NV 161,738.000 6,465,543.51 WOLVERINE WORLD WIDE INC 17,709.000 326,199.78 WOODWARD INC 9,992.000 519,783.84 WORLD ACCEPTANCE CORP 4,737.000 179,627.04 WORLD FUEL SERVICES CORP 11,131.000 540,743.98 WORLD WRESTLING ENTERTAINMENT 8,264.000 145,942.24 WORLDGATE COMMUNICATIONS 6,943.000 0.82 WORLDPAY GROUP PLC 7,362,444.000 29,111,194.13 WORLDTEX INC 47.000 0.00 WORTHINGTON INDUSTRIES INC 13,195.000 470,269.80 WP GLIMCHER INC 4,413.000 41,879.37 WPT INDUSTRIAL REIT TRUST UNIT 49,151.000 516,085.50 WPX ENERGY INC 229,555.000 1,604,589.45 WQN INC 656.000 1.31 WRIGHT INVESTORS' SERVICE HOLD 2,575.000 3,373.25 WRIGHT MEDICAL GROUP NV 6,794.000 112,780.40 WSFS FINANCIAL CORP 8,855.000 287,964.60 WSI INDUSTRIES INC 545.000 1,842.10 WW GRAINGER INC 19,387.000 4,525,507.41 WYNDHAM WORLDWIDE CORP 37,182.000 2,841,820.26 WYNN RESORTS LTD 11,161.000 1,042,772.23 XBIOTECH INC 1,350.000 12,757.50 XCEL ENERGY INC 69,597.000 2,910,546.54 XCERRA CORP 3,595.000 23,439.40 XENCOR INC 2,900.000 38,918.00 XENOPORT INC 2,560.000 11,545.60

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 92 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

XEROX CORP 161,757.000 1,805,208.12 XILINX INC 78,590.000 3,727,523.70 XL GROUP PLC 40,012.000 1,472,441.60 XO GROUP INC 3,767.000 60,460.35 XPO LOGISTICS INC 4,729.000 145,180.30 XURA INC 2,528.000 49,725.76 XYLEM INC/NY 24,475.000 1,001,027.50 YADKIN FINANCIAL CORP 683.000 16,166.61 YAHOO! INC 119,442.000 4,396,660.02 YARA INTERNATIONAL ASA 162,300.000 6,110,348.48 YOKOHAMA RUBBER CO LTD/THE 352,700.000 5,808,511.98 YORK WATER CO/THE 538.000 16,419.76 YOUR COMMUNITY BANKSHARES INC 33.000 1,033.56 YUE YUEN INDUSTRIAL HOLDINGS L 1,733,500.000 5,955,969.46 YUM! BRANDS INC 56,043.000 4,587,119.55 YUMA ENERGY INC 425.000 87.55 Z ENERGY LTD 2,180,780.000 10,220,279.99 ZAFGEN INC 1,700.000 11,356.00 ZALANDO SE 428,120.000 14,074,880.62 ZANETT INC 154.000 0.00 ZAP.COM CORP 330.000 36.30 ZAZA ENERGY CORP 342.000 20.72 ZEBRA TECHNOLOGIES CORP 23,200.000 1,600,800.00 ZELTIQ AESTHETICS INC 5,046.000 137,049.36 ZHONE TECHNOLOGIES INC 1,438.000 2,300.80 ZIMMER BIOMET HOLDINGS INC 24,538.000 2,616,486.94 ZION OIL & GAS INC 527.000 927.52 ZION OIL & GAS INC RTS 5.000 0.00 ZIONS BANCORPORATION 28,042.000 678,896.82 ZIOPHARM ONCOLOGY INC 12,928.000 95,925.76 ZIX CORP 3,171.000 12,462.03 ZOETIS INC 62,718.000 2,780,288.94 ZOGENIX INC 4,849.000 44,804.76 ZUMIEZ INC 2,361.000 47,031.12 ZYNGA INC 88,859.000 202,598.52 FIXED INCOME SECURITIES 3,008,278,079.326 2,231,666,684.13 1-800 CONTACTS 1/16 COV-LITE TL 285,000.000 285,000.00 1011778 BC ULC / NEW RED 144A 4.625% 01/15/2022 DD 05/22/15 3,726,000.000 3,791,205.00 1011778 BC ULC / NEW RED 144A 6.000% 04/01/2022 DD 10/08/14 204,000.000 212,160.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 93 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

21ST CENTURY FOX AMERICA INC 6.150% 02/15/2041 DD 08/15/11 530,000.000 633,057.97 21ST CENTURY FOX AMERICA INC 6.200% 12/15/2034 DD 12/03/04 1,090,000.000 1,311,098.87 3M CO 3.000% 08/07/2025 DD 08/07/15 1,710,000.000 1,827,594.99 A&K FUNDING LLC 41034 0.010% 04/10/2034 DD 03/31/04 1,351,202.490 249,972.46 ABBOTT LABORATORIES 2.950% 03/15/2025 DD 03/10/15 3,850,000.000 3,889,570.30 ABBVIE INC 1.800% 05/14/2018 DD 05/14/15 1,575,000.000 1,585,577.70 ABBVIE INC 3.600% 05/14/2025 DD 05/14/15 2,205,000.000 2,314,625.99 ABRA AUTO BODY 9/14 COV-LITE TL 423,924.020 420,036.64 ACADIA HEALTHCARE 2/16 (USD) 0.000% 02/16/2023 DD 02/16/16 458,850.000 459,804.40 ACADIA HEALTHCARE CO INC 144A 6.500% 03/01/2024 DD 02/16/16 915,000.000 951,600.00 ACADIA HEALTHCARE CO INC 5.625% 02/15/2023 DD 08/15/15 1,090,000.000 1,106,350.00 ACCESS CIG 10/14 TL 698,237.440 688,811.24 ACTAVIS FUNDING SCS 3.000% 03/12/2020 DD 03/12/15 750,000.000 771,156.00 ACTAVIS FUNDING SCS 3.450% 03/15/2022 DD 03/12/15 3,425,000.000 3,555,687.73 ACTAVIS FUNDING SCS 3.800% 03/15/2025 DD 03/12/15 815,000.000 848,205.55 ACTAVIS FUNDING SCS 3.850% 06/15/2024 DD 06/19/14 990,000.000 1,037,649.69 ACTIVISION BLIZZARD INC 144A 5.625% 09/15/2021 DD 09/19/13 2,620,000.000 2,754,275.00 ACTIVISION BLIZZARD INC 144A 6.125% 09/15/2023 DD 09/19/13 1,048,000.000 1,123,980.00 ADVANCED DISPOSAL 2/14 COV-LITE TLB 1,386,040.020 1,373,330.03 ADVANCED DISPOSAL SERVICES INC 8.250% 10/01/2020 DD 10/01/13 1,170,000.000 1,193,283.00 ADVANTAGE SALES 7/14 TL 938,125.000 920,244.34 AECOM 5.750% 10/15/2022 DD 10/15/15 3,158,000.000 3,276,425.00 AECOM 5.875% 10/15/2024 DD 10/15/15 500,000.000 515,000.00 AERCAP IRELAND CAPITAL LTD / A 4.500% 05/15/2021 DD 05/15/15 3,775,000.000 3,857,559.25 AERCAP IRELAND CAPITAL LTD / A 4.625% 10/30/2020 DD 10/21/15 85,000.000 87,125.00 AERCAP IRELAND CAPITAL LTD / A 5.000% 10/01/2021 DD 04/01/15 696,000.000 720,360.00 AEROPUERTO INTERNACIONAL DE TO 5.750% 10/09/2023 730,000.000 748,250.00 AES CORP/VA 4.875% 05/15/2023 DD 04/30/13 435,000.000 418,687.50 AES CORP/VA 7.375% 07/01/2021 DD 07/01/12 669,000.000 749,280.00 AES GENER SA 144A VAR RT 12/18/2073 DD 12/18/13 1,660,000.000 1,697,350.00 AFFINIA 4/13 TLB2 0.000% 04/27/2020 DD 04/11/13 332,632.980 332,217.19 AGRIUM INC 3.375% 03/15/2025 DD 03/02/15 130,000.000 125,118.50 AIR MEDICAL 4/15 COV-LITE TLB 571,750.000 556,918.80 AIRCASTLE LTD 5.000% 04/01/2023 DD 03/24/16 91,000.000 91,455.00 AIRCASTLE LTD 5.125% 03/15/2021 DD 03/26/14 330,000.000 343,612.50 AIRCASTLE LTD 5.500% 02/15/2022 DD 01/15/15 629,000.000 656,122.48 ALBERTSON'S 12/15 COV-LITE B5 TL 248,181.810 248,315.82 ALBERTSON'S 8/14 COV-LITE TLB4 616,708.230 617,016.58 ALCATEL 1/13 (USD) TLC 0.000% 01/29/2019 DD 01/09/13 0.020 0.02

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 94 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ALERE INC 144A 6.375% 07/01/2023 DD 06/24/15 326,000.000 342,300.00 ALESCO PREFERRED F 12A C1 144A VAR RT 07/15/2037 DD 10/12/06 564,397.880 221,996.31 ALESCO PREFERRED F 14A A2 144A VAR RT 09/23/2037 DD 12/21/06 755,000.000 364,532.88 ALESCO PREFERRED FU 3A B2 144A VAR RT 05/01/2034 DD 03/25/04 507,017.654 168,932.20 ALESCO PREFERRED FU 5A C2 144A VAR RT 12/23/2034 DD 09/14/04 859,016.135 384,409.72 ALESCO PREFERRED FU 8A C1 144A VAR RT 12/23/2035 DD 08/04/05 275,576.078 99,207.39 ALIXPARTNERS 7/15 TLB 1,044,999.370 1,042,125.62 ALLEGION PLC 5.875% 09/15/2023 DD 09/16/15 982,000.000 1,033,555.00 ALLEGION US HOLDING CO INC 5.750% 10/01/2021 DD 04/01/14 92,000.000 96,370.00 ALLERGAN INC/UNITED STATES 3.375% 09/15/2020 DD 09/14/10 50,000.000 51,986.96 ALLFLEX 7/13 TL 1,024,500.000 1,009,450.10 ALLIANCE DATA SYSTEMS COR 144A 5.375% 08/01/2022 DD 07/29/14 970,000.000 909,375.00 ALLIANCE DATA SYSTEMS COR 144A 6.375% 04/01/2020 DD 03/29/12 888,000.000 903,540.00 ALLIEDBARTON 2/14 COV-LITE TL 145,160.720 141,531.70 ALLTEL CORP 7.875% 07/01/2032 DD 06/19/02 240,000.000 318,953.53 ALLY FINANCIAL INC 4.125% 02/13/2022 DD 02/13/15 472,000.000 463,740.00 ALLY FINANCIAL INC 4.625% 03/30/2025 DD 03/30/15 2,209,000.000 2,178,626.25 ALLY FINANCIAL INC 4.625% 05/19/2022 DD 05/19/15 1,349,000.000 1,355,745.00 ALLY FINANCIAL INC 5.125% 09/30/2024 DD 09/29/14 743,000.000 759,717.50 ALLY FINANCIAL INC SUBORDINATED 221,000.000 216,027.50 ALPHABET HOLDING CO INC 7.750% 11/01/2017 DD 05/01/13 450,000.000 453,375.00 ALTICE US FINANCE I CORP 144A 5.375% 07/15/2023 DD 06/12/15 782,000.000 803,016.26 ALTRIA GROUP INC 4.250% 08/09/2042 DD 08/09/12 130,000.000 135,169.71 ALTRIA GROUP INC 4.500% 05/02/2043 DD 05/02/13 310,000.000 333,063.07 AMAYA 7/14 (USD) COV-LITE TL 1,379,572.530 1,264,778.30 AMC ENTERTAINMENT INC 5.875% 02/15/2022 DD 02/07/14 893,000.000 917,557.50 AMC NETWORKS INC 4.750% 12/15/2022 DD 12/17/12 731,000.000 732,827.50 AMC NETWORKS INC 5.000% 04/01/2024 DD 03/30/16 428,000.000 429,605.00 AMERICA MOVIL SAB DE CV 7.125% 12/09/2024 24,720,000.000 1,399,445.32 AMERICAN AXLE & MANUFACTURING 6.250% 03/15/2021 DD 02/28/13 248,000.000 256,060.00 AMERICAN BUILDERS & CONTR 144A 5.625% 04/15/2021 DD 04/16/13 1,154,000.000 1,188,620.00 AMERICAN BUILDERS & CONTR 144A 5.750% 12/15/2023 DD 11/24/15 398,000.000 413,920.00 AMERICAN ENERGY MARCELLUS 7/14 TL 745,000.000 121,680.85 AMERICAN EXPRESS CREDIT AC 3 A 1.490% 04/15/2020 DD 09/22/14 1,010,000.000 1,015,852.44 AMERICAN EXPRESS CREDIT AC 4 A 1.430% 06/15/2020 DD 11/19/14 1,090,000.000 1,095,476.05 AMERICAN HONDA FINANCE CO 144A 1.600% 02/16/2018 DD 02/19/13 535,000.000 538,231.40 AMERICAN INTERNATIONAL GROUP I 4.125% 02/15/2024 DD 10/02/13 290,000.000 302,182.32 AMERICAN INTERNATIONAL GROUP I 4.375% 01/15/2055 DD 01/15/15 40,000.000 34,979.04 AMERICAN INTERNATIONAL GROUP I 6.250% 05/01/2036 DD 04/20/06 340,000.000 394,541.10

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 95 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

AMERICAN INTERNATIONAL GROUP I VAR RT 05/15/2068 DD 05/15/09 3,804,000.000 4,726,470.00 AMERICAN RENAL 2/13 2ND LIEN COV-LITE TL 811,000.000 794,780.00 AMERICAN TIRE DISTRIBUTORS 3/15 COV-LITE TL 349,118.390 347,372.80 AMERICAN TOWER CORP 4.000% 06/01/2025 DD 05/07/15 450,000.000 464,233.50 AMERICAN TOWER CORP 4.700% 03/15/2022 DD 03/12/12 785,000.000 850,041.18 AMERICAN WATER CAPITAL CORP 3.400% 03/01/2025 DD 08/14/14 2,377,000.000 2,503,872.38 AMERIGAS FINANCE LLC / AMERIGA 7.000% 05/20/2022 DD 01/12/12 620,000.000 635,500.00 AMGEN INC 2.700% 05/01/2022 DD 05/01/15 210,000.000 214,027.59 AMGEN INC 5.150% 11/15/2041 DD 11/10/11 350,000.000 386,241.10 AMHERST COLLEGE 4.100% 11/01/2045 DD 12/16/15 1,290,000.000 1,395,598.11 AMPLIT TRUST 2015-A A B 144A 6.750% 09/15/2021 DD 11/19/15 279,000.000 274,911.53 AMRESCO INDEPENDENCE 1A A 144A VAR RT 07/15/2026 DD 09/29/99 290,236.080 263,826.34 AMSURG CORP 5.625% 07/15/2022 DD 01/15/15 108,000.000 111,240.00 AMSURG CORP 5.625% 11/30/2020 DD 05/30/13 753,000.000 777,472.50 ANADARKO PETROLEUM CORP 5.550% 03/15/2026 DD 03/17/16 1,020,000.000 1,028,980.08 ANALECT FUNDING CO LL A A 144A 7.415% 11/10/2036 DD 11/21/06 5,525,187.960 1,049,785.72 ANCESTRY.COM 8/15 COV-LITE TLB 721,375.000 716,563.43 ANCESTRY.COM INC 11.000% 12/15/2020 DD 06/15/13 155,000.000 166,625.00 ANHEUSER-BUSCH INBEV FINANCE I 4.700% 02/01/2036 DD 01/25/16 800,000.000 864,563.20 ANHEUSER-BUSCH INBEV FINANCE I 4.900% 02/01/2046 DD 01/25/16 990,000.000 1,106,386.38 ANTERO RESOURCES CORP 5.125% 12/01/2022 DD 12/01/14 997,000.000 904,777.50 ANTERO RESOURCES CORP 5.625% 06/01/2023 DD 12/01/15 290,000.000 266,800.00 ANTHEM INC 3.300% 01/15/2023 DD 09/10/12 550,000.000 556,049.46 ANTHEM INC 3.500% 08/15/2024 DD 08/12/14 755,000.000 764,119.65 ANTHEM INC 4.350% 08/15/2020 DD 08/12/10 455,000.000 489,628.23 AOA 2015-1177 MORT 1177 C 144A VAR RT 12/13/2029 DD 01/01/15 435,000.000 421,349.70 AON CORP 6.250% 09/30/2040 DD 09/10/10 385,000.000 448,759.47 APOLLO AVIATION SECURITIZA 1 B VAR RT 12/15/2029 DD 12/02/14 2,495,378.230 2,468,552.92 APPLE INC 0.450% 05/03/2016 DD 05/03/13 3,155,000.000 3,154,722.36 APPLE INC 2.850% 02/23/2023 DD 02/23/16 510,000.000 528,645.09 APPLE INC 3.200% 05/13/2025 DD 05/13/15 5,665,000.000 5,935,010.90 APPLE INC 3.250% 02/23/2026 DD 02/23/16 405,000.000 422,846.73 APPLEBEE'S FUNDING L 1 A2 144A 4.277% 09/05/2044 DD 09/30/14 3,433,000.000 3,419,494.92 APPLIED SYSTEMS 1/14 COV-LITE 2ND LIEN TL 74,000.000 69,652.50 APT PIPELINES LTD VAR RT 09/30/2072 8,332.000 653,821.97 APX GROUP INC 6.375% 12/01/2019 DD 06/01/13 692,000.000 694,076.00 APX GROUP INC 8.750% 12/01/2020 DD 06/01/13 645,000.000 556,312.50 ARAMARK 2/14 (USD) TLF 622,969.550 620,371.76 ARAMARK SERVICES INC 5.125% 01/15/2024 DD 12/17/15 750,000.000 790,312.50

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 96 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ARCELORMITTAL STEP 02/25/2022 DD 02/28/12 250,000.000 247,375.00 ARCELORMITTAL VAR RT 03/01/2021 DD 03/07/11 1,388,000.000 1,367,180.00 ARCELORMITTAL VAR RT 08/05/2020 DD 08/05/10 241,000.000 235,577.50 ARCH COAL (5/12) TLB 0.010 0.00 ARCHROCK PARTNERS LP / ARCHROC 6.000% 10/01/2022 DD 10/01/14 415,000.000 298,800.00 ARDAGH PACKAGING FINANCE 144A 6.750% 01/31/2021 DD 02/05/14 841,000.000 813,667.50 ARES XII CLO LTD 12A E 144A VAR RT 11/25/2020 DD 10/23/07 300,238.082 285,981.19 ARISTOCRAT LEISURE 9/14 (USD) COV LITE TL 1,195,984.260 1,197,981.56 ARUBA INVESTMENTS INC 144A 8.750% 02/15/2023 DD 02/02/15 446,000.000 423,700.00 ASBURY AUTOMOTIVE GROUP I 144A 6.000% 12/15/2024 DD 06/15/15 170,000.000 171,700.00 ASBURY AUTOMOTIVE GROUP INC 6.000% 12/15/2024 DD 12/04/14 368,000.000 371,680.00 ASCENA RETAIL 7/15 COV-LITE TLB 673,249.280 654,876.31 ASIAN DEVELOPMENT BANK 3.250% 07/20/2017 2,250,000.000 1,577,231.24 ASIAN DEVELOPMENT BANK 4.625% 03/06/2019 830,000.000 607,580.58 ASIAN DEVELOPMENT BANK 5.000% 03/09/2022 1,400,000.000 1,205,224.45 ASIAN DEVELOPMENT BANK 5.593% 07/16/2018 DD 07/16/98 105,000.000 115,279.29 ASSUREDPARTNERS 10/15 TL 454,361.880 450,954.17 ASURION 2/13 COV-LITE TLB1 0.000% 05/24/2019 DD 02/05/13 854,507.060 841,689.46 ASURION 7/15 COV-LITE TLB4 788,000.000 770,766.44 AT&T INC 144A 0.000% 11/27/2022 DD 11/27/07 8,000,000.000 6,334,864.00 ATKORE 4/14 COV-LITE 2ND LN TL 450,000.000 409,500.00 ATTENTUS CDO III LT 3A A2 144A VAR RT 10/11/2042 DD 01/18/07 190,000.000 112,812.50 ATTENTUS CDO III LTD 3A B 144A VAR RT 10/11/2042 DD 01/18/07 1,219,000.000 536,360.00 AUTHENTIC BRANDS 5/14 COV-LITE TL 1,031,625.170 994,662.04 AVAGO 2/16 (USD) COV-LITE TLB 1,450,000.000 1,441,923.50 AVIS BUDGET CAR RENTAL LL 144A 5.250% 03/15/2025 DD 03/11/15 514,000.000 470,310.00 AXALTA COATING SYSTEMS US 144A 7.375% 05/01/2021 DD 02/01/13 588,000.000 623,280.00 AZURE 11/13 COV-LITE TL 247,180.840 123,590.43 B&G FOODS 10/15 TLB 495,018.310 495,513.33 B&G FOODS INC 4.625% 06/01/2021 DD 06/04/13 279,000.000 282,487.50 BABSON CLO LTD 2011- 1A D 144A VAR RT 09/28/2021 DD 08/09/11 3,750,000.000 3,403,125.00 BALL CORP 4.000% 11/15/2023 DD 05/16/13 2,545,000.000 2,506,825.00 BALL CORP 4.375% 12/15/2020 DD 12/14/15 1,077,000.000 1,120,753.13 BALL CORP 5.250% 07/01/2025 DD 06/25/15 206,000.000 216,300.00 BAMLL COMMERCIAL M 200P F 144A VAR RT 04/14/2033 DD 04/01/15 935,000.000 780,253.86 BAMLL RE-REMIC FRR5 B502 144A 0.000% 03/27/2045 DD 04/01/14 1,501,000.000 1,280,803.30 BAMLL RE-REMIC TR FRR1 A1 144A 0.000% 12/26/2020 DD 01/01/13 183,000.000 131,192.70 BAMLL RE-REMIC TR FRR1 A2 144A 0.000% 04/26/2020 DD 01/01/13 463,000.000 338,175.20 BANC OF AMERICA COMMERCIA 2 AM VAR RT 05/10/2045 DD 06/01/06 272,828.330 272,690.87

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 97 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

BANC OF AMERICA COMMERCIA 4 AM 5.675% 07/10/2046 DD 08/01/06 330,000.000 331,127.24 BANC OF AMERICA COMMERCIA 5 AM 5.448% 09/10/2047 DD 10/01/06 130,000.000 131,463.16 BANC OF AMERICA COMMERCIAL 6 C 5.510% 10/10/2045 DD 11/01/06 673,000.000 636,809.02 BANCO NACIONAL DE COMERCI 144A 4.375% 10/14/2025 DD 10/14/15 1,455,000.000 1,465,185.00 BANK OF AMERICA CORP 2.250% 04/21/2020 DD 04/21/15 205,000.000 203,020.52 BANK OF AMERICA CORP 2.650% 04/01/2019 DD 04/01/14 205,000.000 208,598.37 BANK OF AMERICA CORP 3.300% 01/11/2023 DD 01/11/13 700,000.000 705,881.40 BANK OF AMERICA CORP 5.625% 07/01/2020 DD 06/22/10 625,000.000 702,320.63 BANK OF AMERICA CORP 5.875% 02/07/2042 DD 02/07/12 25,000.000 30,297.45 BANK OF AMERICA CORP 6.110% 01/29/2037 DD 01/29/07 100,000.000 114,987.60 BANK OF AMERICA CORP VAR RT 12/01/2026 DD 11/27/06 805,000.000 684,554.29 BANK OF MONTREAL 1.400% 09/11/2017 DD 09/11/12 1,070,000.000 1,073,121.20 BANK OF NOVA SCOTIA/THE 1.250% 04/11/2017 DD 04/11/14 1,540,000.000 1,542,816.67 BANK OF NOVA SCOTIA/THE VAR RT 07/15/2016 DD 07/17/13 785,000.000 786,069.96 BANK OF TOKYO-MITSUBISHI 144A 1.700% 03/05/2018 DD 03/05/15 80,000.000 79,568.08 BANKUNITED INC 4.875% 11/17/2025 DD 11/17/15 1,940,000.000 1,945,833.58 BAPTIST HEALTH SOUTH FLORIDA I 4.590% 08/15/2021 DD 05/25/11 290,000.000 321,707.44 BARCLAYS PLC 2.750% 11/08/2019 DD 11/10/14 310,000.000 307,895.10 BARCLAYS PLC 4.375% 01/12/2026 DD 01/12/16 100,000.000 98,132.00 BAXALTA INC 144A 3.600% 06/23/2022 DD 06/23/15 395,000.000 401,276.55 BAY AREA CA TOLL AUTH TOLL BRI 7.043% 04/01/2050 DD 07/01/10 85,000.000 125,960.65 BAYER US FINANCE LLC 144A 1.500% 10/06/2017 DD 10/08/14 60,000.000 60,326.40 BBCMS TRUST 2015- RRMZ M2 144A VAR RT 05/15/2020 DD 06/04/15 1,700,000.000 1,571,650.00 BBCMS TRUST 2015-ST STP A 144A 3.323% 09/10/2028 DD 10/06/15 1,255,000.000 1,294,449.67 BE AEROSPACE 12/14 COV-LITE TL 1,313,454.530 1,316,738.16 BEACON ROOFING SUPPLY INC 144A 6.375% 10/01/2023 DD 10/01/15 724,000.000 767,440.00 BEAL CAP TR IX VAR RT 06/01/2037 DD 03/28/07 816,000.000 416,160.00 BEAR STEARNS ALT-A TRUS 7 11A1 VAR RT 08/25/2035 DD 07/29/05 130,627.250 122,960.04 BEAR STEARNS ALT-A TRUST 7 1A1 VAR RT 08/25/2034 DD 07/01/04 238,396.410 239,160.95 BEAR STEARNS ALT-A TRUST 8 1A VAR RT 09/25/2034 DD 07/30/04 177,960.590 173,816.96 BEAR STEARNS ALT-A TRUST 8 2A VAR RT 09/25/2034 DD 07/30/04 945,925.450 888,134.71 BEAR STEARNS ARM TRUST 10 12A3 VAR RT 01/25/2035 DD 11/01/04 929,319.360 843,272.01 BEAR STEARNS ARM TRUST 20 2 A1 VAR RT 03/25/2035 DD 02/01/05 88,170.710 87,807.30 BEAR STEARNS ARM TRUST 20 5 A2 VAR RT 08/25/2035 DD 07/01/05 1,014,149.490 1,009,704.17 BEAR STEARNS ASSET BACK AC5 A1 VAR RT 10/25/2034 DD 09/01/04 454,425.120 453,676.86 BEAR STEARNS COMME PW14 B 144A 5.333% 12/11/2038 DD 12/01/06 1,070,000.000 948,276.27 BEAR STEARNS COMMERCIA PW10 AJ VAR RT 12/11/2040 DD 12/01/05 3,444,726.091 3,362,735.41 BEAR STEARNS COMMERCIA PW14 AJ 5.273% 12/11/2038 DD 12/01/06 624,000.000 597,613.54 BEAR STEARNS COS LLC/THE 7.250% 02/01/2018 DD 02/01/08 260,000.000 285,557.48

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 98 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

BED BATH & BEYOND INC 5.165% 08/01/2044 DD 07/17/14 80,000.000 67,658.08 BENEFIT STREET PART IIA D 144A VAR RT 07/15/2024 DD 06/13/13 736,000.000 530,840.00 BERKSHIRE HATHAWAY ENERGY CO 2.400% 02/01/2020 DD 12/04/14 590,000.000 601,163.40 BERKSHIRE HATHAWAY ENERGY CO 4.500% 02/01/2045 DD 12/04/14 265,000.000 282,120.59 BERKSHIRE HATHAWAY ENERGY CO 5.150% 11/15/2043 DD 11/08/13 365,000.000 422,190.39 BERKSHIRE HATHAWAY INC 2.200% 03/15/2021 DD 03/15/16 880,000.000 898,679.77 BERRY PLASTICS 2/13 COV-LT TLD 0.000% 02/08/2020 DD 02/04/13 378,051.280 376,161.02 BERRY PLASTICS 9/15 TLF 0.000% 10/03/2022 DD 09/09/15 347,276.780 347,103.15 BERRY PLASTICS CORP 144A 6.000% 10/15/2022 DD 10/01/15 558,000.000 584,853.75 BERRY PLASTICS CORP 5.125% 07/15/2023 DD 06/05/15 688,000.000 693,160.00 BERRY PLASTICS CORP 5.500% 05/15/2022 DD 05/12/14 775,000.000 798,250.00 BEVERAGE PACKAGING HOLDIN 144A 5.625% 12/15/2016 DD 11/15/13 387,000.000 385,790.63 BEVERAGE PACKAGING HOLDIN 144A 6.000% 06/15/2017 DD 12/10/13 100,000.000 99,187.50 BIOGEN INC 2.900% 09/15/2020 DD 09/15/15 390,000.000 401,368.12 BIOGEN INC 6.875% 03/01/2018 DD 03/04/08 185,000.000 202,599.61 BJ'S WHOLESALE CLUB 11/13 COV-LITE TL 1,598,516.660 1,553,886.07 BLUE COAT SYSTEMS 5/15 COV-LITE TL 375,000.000 368,437.50 BMC SOFTWARE 8/13 (US 0.000% 09/10/2020 DD 08/09/13 708,959.570 593,087.22 BOARD OF TRUSTEES OF THE LELAN 3.460% 05/01/2047 DD 04/28/15 1,575,000.000 1,582,964.78 BOARDWALK PIPELINES LP 5.875% 11/15/2016 DD 11/21/06 300,000.000 300,702.00 BOSTON PROPERTIES LP 3.650% 02/01/2026 DD 01/20/16 515,000.000 534,391.81 BOYD GAMING CORP 144A 6.375% 04/01/2026 DD 03/28/16 562,000.000 583,075.00 BOYD GAMING CORP 6.875% 05/15/2023 DD 05/21/15 577,000.000 614,505.00 BRAND ENERGY 11/13 COV-LITE TL 869,782.900 842,236.88 BRICKMAN GROUP 12/13 COV-LITE TL 1,522,941.410 1,497,051.41 BURGER KING 5/15 TLB 1,434,181.560 1,432,188.04 BURLINGTON NORTHERN SANTA FE L 7.000% 12/15/2025 DD 12/11/95 355,000.000 469,228.71 BUSH BUSINESS ENTE AA A 144A 5.000% 02/25/2016 DD 02/28/11 41,481.040 30,851.52 BUSH BUSINESS ENTE AA B 144A 5.000% 02/25/2016 DD 02/28/11 143,377.930 60,003.66 BUSH TRUCK LEASING L AA C 144A 5.000% 09/25/2018 DD 02/28/11 325,936.790 321,168.82 BWAY 2013-1515 MOR 1515 F 144A VAR RT 03/10/2033 DD 03/01/13 264,000.000 242,991.78 BWAY 8/14 COV-LITE TLB 369,375.000 356,631.56 CABLE ONE INC 144A 5.750% 06/15/2022 DD 06/17/15 207,000.000 210,105.00 CABLEVISION SYSTEMS 9/15 COV-LITE TL 575,000.000 574,908.00 CALATLANTIC GROUP INC 5.875% 11/15/2024 DD 11/06/14 168,000.000 176,820.00 CALATLANTIC GROUP INC 6.250% 12/15/2021 DD 08/06/13 994,000.000 1,066,065.00 CALIFORNIA ST 7.350% 11/01/2039 DD 11/10/09 410,000.000 603,909.50 CALIFORNIA ST 7.600% 11/01/2040 DD 12/01/10 95,000.000 147,801.95 CALPINE 10/13 COV-LITE DELAYED TL 150,000.000 148,594.50

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 99 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CALPINE 5/15 B5 COV-LITE TL 1,017,312.500 1,002,846.32 CALPINE CORP 144A 6.000% 01/15/2022 DD 10/31/13 504,000.000 527,940.00 CALPINE CORP 5.500% 02/01/2024 DD 02/03/15 936,000.000 898,560.00 CALUMET SPECIALTY PRODUCTS PAR 7.625% 01/15/2022 DD 11/26/13 1,065,000.000 753,487.50 CAMERON INTERNATIONAL CORP 1.150% 12/15/2016 DD 12/16/13 740,000.000 739,685.50 CAMPING WORLD 11/13 COV-LT TL 672,727.270 657,590.91 CANADA HOUSING TRUST NO.1 2.750% 15-JUN-2016 7,505,000.000 5,827,319.61 CANADIAN PACIFIC RAILWAY CO 6.125% 09/15/2115 DD 09/11/15 380,000.000 407,439.43 CAPITAL ONE BANK USA NA 2.250% 02/13/2019 DD 02/13/14 315,000.000 314,219.43 CAPITAL ONE MULTI-ASSET A1 A1 1.390% 01/15/2021 DD 03/31/15 880,000.000 882,838.97 CAPITAL ONE MULTI-ASSET A2 A2 1.260% 01/15/2020 DD 04/10/14 895,000.000 896,921.48 CAPITAL ONE MULTI-ASSET A5 A5 1.480% 07/15/2020 DD 10/14/14 2,365,000.000 2,377,679.71 CAPITAL ONE NA/MCLEAN VA 2.350% 08/17/2018 DD 08/18/15 600,000.000 603,088.80 CAPITAL SAFETY 3/14 COV-LITE TL 0.010 0.01 CAPSUGEL SA 144A 7.000% 05/15/2019 DD 11/14/13 233,000.000 234,165.00 CARDINAL HEALTH INC 3.750% 09/15/2025 DD 06/23/15 2,165,000.000 2,288,214.48 CARMAX AUTO OWNER TRUST 2 3 A3 0.970% 04/16/2018 DD 08/08/13 577,965.130 577,849.59 CARRIZO OIL & GAS INC 6.250% 04/15/2023 DD 04/28/15 1,246,000.000 1,098,037.50 CASELLA WASTE SYSTEMS INC 7.750% 02/15/2019 DD 08/15/11 975,000.000 989,015.63 CATALENT PHARMA 5/14 (USD) TLB 0.050 0.05 CATALINA MARKETING 4/14 COV-LITE TL 884,250.000 751,612.50 CBC INSURANCE REVENUE A C 144A 8.880% 02/15/2023 DD 11/26/02 597,342.270 597,096.17 CBRE SERVICES INC 5.000% 03/15/2023 DD 03/14/13 36,000.000 36,817.96 CBRE SERVICES INC 5.250% 03/15/2025 DD 09/26/14 336,000.000 346,434.14 CBS CORP 3.500% 01/15/2025 DD 01/12/15 3,765,000.000 3,815,454.77 CCO HOLDINGS LLC / CCO HO 144A 5.125% 05/01/2023 DD 04/21/15 69,000.000 70,207.50 CCO HOLDINGS LLC / CCO HO 144A 5.375% 05/01/2025 DD 04/21/15 549,000.000 558,607.50 CCO HOLDINGS LLC / CCO HO 144A 5.875% 04/01/2024 DD 02/19/16 2,125,000.000 2,225,937.50 CCO HOLDINGS LLC / CCO HO 144A 5.875% 05/01/2027 DD 04/21/15 211,000.000 215,220.00 CCO HOLDINGS LLC / CCO HOLDING 5.250% 03/15/2021 DD 09/15/13 572,000.000 592,020.00 CCO HOLDINGS LLC / CCO HOLDING 5.250% 09/30/2022 DD 08/22/12 286,000.000 294,580.00 CCO HOLDINGS LLC / CCO HOLDING 5.750% 01/15/2024 DD 05/03/13 2,642,000.000 2,750,982.50 CCO HOLDINGS LLC / CCO HOLDING 7.000% 01/15/2019 DD 01/11/11 127,000.000 129,540.00 CCO SAFARI II LLC 144A 4.908% 07/23/2025 DD 07/23/15 710,000.000 748,919.36 CCOH SAFARI LLC 144A 5.750% 02/15/2026 DD 11/20/15 546,000.000 565,110.00 CD 2007-CD4 COMMERCIAL CD4 AJ VAR RT 12/11/2049 DD 03/01/07 3,184,518.072 2,515,769.28 CEDAR FAIR LP / CANADA'S WONDE 5.250% 03/15/2021 DD 09/15/13 640,000.000 663,200.00 CELANESE US HOLDINGS LLC 5.875% 06/15/2021 DD 05/06/11 1,364,000.000 1,452,660.00 CEMEX FINANCE LLC 144A 9.375% 10/12/2022 DD 10/12/12 2,085,000.000 2,293,500.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 100 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CEMEX SAB DE CV 144A 6.125% 05/05/2025 DD 03/05/15 3,405,000.000 3,183,675.00 CENTENE CORP 4.750% 05/15/2022 DD 04/29/14 469,000.000 473,690.00 CENTENE ESCROW CORP 144A 5.625% 02/15/2021 DD 02/11/16 178,000.000 185,565.00 CENTENE ESCROW CORP 144A 6.125% 02/15/2024 DD 02/11/16 854,000.000 898,835.00 CENTRICA PLC REGS VAR RT 04/10/2075 1,080,000.000 1,403,963.27 CENTURYLINK INC 5.625% 04/01/2020 DD 03/21/13 363,000.000 367,722.63 CENTURYLINK INC 5.625% 04/01/2025 DD 10/01/15 483,000.000 432,285.00 CENTURYLINK INC 5.800% 03/15/2022 DD 03/12/12 705,000.000 678,280.50 CENTURYLINK INC 6.450% 06/15/2021 DD 06/16/11 288,000.000 291,778.56 CENTURYLINK INC 7.500% 04/01/2024 DD 04/06/16 306,000.000 306,765.00 CEQUEL COMMUNICATIONS HOL 144A 5.125% 12/15/2021 DD 05/16/13 780,000.000 727,350.00 CEQUEL COMMUNICATIONS HOL 144A 6.375% 09/15/2020 DD 10/25/12 657,000.000 650,430.00 CEQUEL COMMUNICATIONS HOL 144A 7.750% 07/15/2025 DD 06/12/15 544,000.000 535,840.00 CF BLACKROCK EX US SUPERFUND B FD 20,279,150.490 475,760,855.47 CF INDUSTRIES INC 4.950% 06/01/2043 DD 05/23/13 350,000.000 304,617.60 CHARTER COMM OPERATING 7/15 TLI 850,000.000 850,238.00 CHASE ISSUANCE TRUST A2 A2 1.590% 02/18/2020 DD 03/13/15 3,535,000.000 3,561,806.60 CHASE ISSUANCE TRUST A5 A5 1.360% 04/15/2020 DD 05/06/15 575,000.000 576,580.68 CHEMOURS CO/THE 144A 6.625% 05/15/2023 DD 05/12/15 714,000.000 581,910.00 CHEMOURS CO/THE 144A 7.000% 05/15/2025 DD 05/12/15 1,240,000.000 992,000.00 CHEVRON CORP 1.365% 03/02/2018 DD 03/03/15 785,000.000 787,795.39 CHOICE HOTELS INTERNATIONAL IN 5.750% 07/01/2022 DD 06/27/12 1,096,000.000 1,167,240.00 CHRYSLER CAPITAL AUT AA R 144A 0.000% 01/18/2022 DD 04/15/15 1,283,000.000 551,690.00 CHS/COMMUNITY HEALTH SYSTEMS I 5.125% 08/01/2021 DD 08/01/14 1,070,000.000 1,083,375.00 CHS/COMMUNITY HEALTH SYSTEMS I 6.875% 02/01/2022 DD 08/01/14 3,419,000.000 3,085,647.50 CHS/COMMUNITY HEALTH SYSTEMS I 7.125% 07/15/2020 DD 07/18/12 1,020,000.000 963,900.00 CHUBB CORP/THE 5.750% 05/15/2018 DD 05/06/08 190,000.000 208,988.60 CHUBB INA HOLDINGS INC 2.300% 11/03/2020 DD 11/03/15 695,000.000 706,572.45 CHUBB INA HOLDINGS INC 3.350% 05/03/2026 DD 11/03/15 1,420,000.000 1,482,471.48 CIFC FUNDING 2007-II 3A D 144A VAR RT 07/26/2021 DD 07/31/07 1,000,000.000 930,000.00 CIFC FUNDING 2011-I 1A E 144A VAR RT 01/19/2023 DD 01/19/12 668,000.000 644,713.52 CIFC FUNDING 2012- 3A B3L 144A VAR RT 01/29/2025 DD 01/08/13 544,000.000 398,657.89 CIFC FUNDING 2013-II 3A D 144A VAR RT 10/24/2025 DD 09/12/13 684,000.000 514,710.00 CINCINNATI BELL 9/13 TLB 953,062.500 935,592.87 CINEMARK USA INC 5.125% 12/15/2022 DD 12/18/12 188,000.000 192,465.00 CINTAS CORP NO 2 2.850% 06/01/2016 DD 05/23/11 200,000.000 200,712.40 CIRQUE DU SOLEIL 6/15 COV-LITE 0.000% 07/08/2022 DD 06/10/15 696,500.000 659,933.75 CIT GROUP INC 144A 5.500% 02/15/2019 DD 02/07/12 561,000.000 580,354.50 CIT GROUP INC 144A 6.625% 04/01/2018 DD 03/30/11 575,000.000 604,468.75

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 101 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CIT GROUP INC 5.000% 08/15/2022 DD 08/03/12 365,000.000 369,332.55 CIT GROUP INC 5.250% 03/15/2018 DD 03/15/12 335,000.000 346,557.50 CIT GROUP INC 5.375% 05/15/2020 DD 05/04/12 559,000.000 579,962.50 CIT RV TRUST 1999-A A B 6.440% 03/15/2017 DD 05/19/99 516,940.088 33,601.11 CITI HELD FOR ASSET PM1 C 144A 10.260% 04/15/2025 DD 03/31/16 684,000.000 657,187.20 CITI HELD FOR ASSET PM2 B 144A 4.000% 03/15/2022 DD 10/23/15 1,439,000.000 1,365,901.37 CITIBANK CREDIT CARD ISS A8 A8 1.730% 04/09/2020 DD 09/24/14 1,690,000.000 1,706,670.33 CITIBANK CREDIT CARD ISS A8 A8 5.650% 09/20/2019 DD 09/20/07 2,965,000.000 3,154,216.22 CITIGROUP INC 1.700% 04/27/2018 DD 04/27/15 865,000.000 861,884.27 CITIGROUP INC 1.800% 02/05/2018 DD 02/05/15 597,000.000 596,395.84 CITIGROUP INC 4.450% 09/29/2027 DD 09/29/15 985,000.000 991,150.34 CITIGROUP INC 4.600% 03/09/2026 DD 03/09/16 225,000.000 230,700.15 CITIGROUP INC 6.250% 06/29/2017 1,870,000.000 1,346,071.91 CKE RESTAURANT HOLD 1A A2 144A 4.474% 03/20/2043 DD 04/01/13 3,256,550.000 3,252,522.30 CLEAR CHANNEL 12/13 EXTENDED TLE 0.020 0.01 COBALT CMBS COMMERCIAL M C1 AJ 5.289% 08/15/2048 DD 12/01/06 1,043,160.321 594,601.39 COBALT CMBS COMMERCIAL MO C3 C VAR RT 05/15/2046 DD 08/01/07 121,000.000 107,336.68 COBB-MARIETTA COLISEUM & EXHIB 4.500% 01/01/2047 DD 09/09/15 295,000.000 309,918.15 COCA-COLA CO/THE 1.150% 04/01/2018 DD 03/05/13 1,345,000.000 1,353,746.54 COCA-COLA CO/THE 1.800% 09/01/2016 DD 08/10/11 1,547,000.000 1,553,601.05 COINMACH 5/13 COV-LITE TLB 920,344.770 895,265.38 COMM 2006-C7 MORTGAGE TR C7 AJ VAR RT 06/10/2046 DD 06/01/06 184,000.000 166,476.27 COMM 2007-C9 MORTGAGE TR C9 A4 VAR RT 12/10/2049 DD 08/01/07 273,880.420 284,427.39 COMM 2013-WWP MORTG WWP D 144A 3.898% 03/10/2031 DD 03/01/13 1,555,000.000 1,498,966.50 COMMERCIAL MORTGAGE TRU GG7 AM VAR RT 07/10/2038 DD 07/01/06 1,210,000.000 1,212,521.76 COMMONWEALTH EDISON CO 3.700% 03/01/2045 DD 03/02/15 310,000.000 304,712.02 COMMONWEALTH EDISON CO 4.350% 11/15/2045 DD 11/19/15 265,000.000 289,866.01 COMMSCOPE 8/15 TRANCHE 5 TL 698,250.000 696,720.84 COMMUNICATIONS SALES 4/15 COV-LITE TLB 744,375.000 719,483.10 COMPASS BANK 2.750% 09/29/2019 DD 09/29/14 625,000.000 622,401.25 COMPASS BANK 3.875% 04/10/2025 DD 04/10/15 185,000.000 173,513.72 CONCHO RESOURCES INC 5.500% 04/01/2023 DD 08/17/12 1,727,000.000 1,692,460.00 CONCHO RESOURCES INC 5.500% 10/01/2022 DD 03/12/12 17,000.000 16,702.50 CONCHO RESOURCES INC 6.500% 01/15/2022 DD 05/23/11 1,267,000.000 1,263,832.50 CONCORDIA 10/15 (USD) TL 1,051,017.500 1,021,326.26 CONCORDIA HEALTHCARE CORP 144A 7.000% 04/15/2023 DD 04/21/15 255,000.000 218,662.50 CONNECTICUT ST 5.090% 10/01/2030 DD 10/19/10 910,000.000 1,051,313.90 CONSOLIDATED CONTAINER 7/12 B 0.010 0.01 CONSOLIDATED EDISON CO OF NEW 4.500% 12/01/2045 DD 11/17/15 315,000.000 343,528.92

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 102 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CONSTELLATION BRANDS INC 3.750% 05/01/2021 DD 05/14/13 1,470,000.000 1,488,375.00 CONSTELLATION BRANDS INC 3.875% 11/15/2019 DD 11/03/14 144,000.000 151,020.00 CONSTELLATION BRANDS INC 4.250% 05/01/2023 DD 05/14/13 3,109,000.000 3,178,952.50 CONSTELLATION BRANDS INC 4.750% 11/15/2024 DD 11/03/14 482,000.000 502,485.00 CONSTELLATION BRANDS INC 4.750% 12/01/2025 DD 12/04/15 1,098,000.000 1,136,430.00 CONTIMORTGAGE HOME EQUIT 4 B1F 7.330% 10/15/2028 DD 09/13/97 95,968.470 96,549.86 CONTINENTAL RESOURCES INC/OK 3.800% 06/01/2024 DD 05/19/14 482,000.000 380,780.00 CONTINENTAL RESOURCES INC/OK 4.500% 04/15/2023 DD 04/05/13 339,000.000 283,488.75 CONVATEC FINANCE INTERNAT 144A 8.250% 01/15/2019 DD 08/12/13 362,000.000 358,606.26 COOPERATIEVE RABOBANK UA 3.950% 11/09/2022 DD 11/09/12 155,000.000 158,777.04 COOPERATIEVE RABOBANK UA 4.375% 08/04/2025 DD 08/04/15 165,000.000 169,883.84 CORP GEO SAB DE CV 144A 8.875% 03/27/2022 DD 03/27/12 1,200,000.000 600.00 CORPORATE OFFICE PROPERTIES LP 5.000% 07/01/2025 DD 06/29/15 845,000.000 852,140.25 CORRECTIONS CORP OF AMERICA 5.000% 10/15/2022 DD 09/25/15 1,492,000.000 1,555,410.00 COUNTRYWIDE HOME EQUITY LO A A VAR RT 04/15/2030 DD 02/20/04 387,762.051 372,639.25 COVANTA HOLDING CORP 5.875% 03/01/2024 DD 03/06/14 1,520,000.000 1,474,400.00 COVENANT SURGICAL PARTNER 144A 8.750% 08/01/2019 DD 07/16/14 675,000.000 648,000.00 CPG INTERNATIONAL 9/13 COV-LITE TLB 1,046,875.000 1,015,468.75 CPS AUTO RECEIVABLES C D 144A 10.000% 03/15/2019 DD 12/14/11 40,643.620 40,710.94 CREDIT SUISSE COMMER C2 C 144A VAR RT 01/15/2049 DD 05/01/07 529,000.000 286,647.91 CREDIT SUISSE COMMERCI C1 AMFL VAR RT 02/15/2040 DD 03/16/07 3,197,426.000 3,013,550.98 CREDIT SUISSE COMMERCIAL C1 AJ VAR RT 02/15/2040 DD 03/01/07 7,181,000.000 3,662,310.00 CREDIT SUISSE COMMERCIAL C2 AJ VAR RT 01/15/2049 DD 05/01/07 757,000.000 735,896.20 CREDIT SUISSE COMMERCIAL C3 AJ VAR RT 06/15/2039 DD 06/01/07 1,900,000.000 1,728,065.77 CREDIT SUISSE FIRS CKN5 H 144A VAR RT 09/15/2034 DD 11/01/01 887.640 879.44 CREDIT SUISSE FIRS CPN1 G 144A VAR RT 03/15/2035 DD 03/01/03 180,274.320 163,694.91 CREST 2001-1 LTD 1A C 144A 9.000% 02/25/2034 DD 03/07/01 193,018.960 151,722.55 CRESTWOOD MIDSTREAM PARTNERS L 6.125% 03/01/2022 DD 03/01/14 405,000.000 303,750.00 CROWN AMERICAS LLC / CROWN AME 4.500% 01/15/2023 DD 07/15/13 1,505,000.000 1,535,100.00 CROWN CASTLE INTERNATIONAL COR 4.450% 02/15/2026 DD 02/08/16 405,000.000 421,097.94 CROWN CASTLE INTERNATIONAL COR 5.250% 01/15/2023 DD 10/15/12 654,000.000 705,502.50 CROWN CASTLE TOWERS LLC 144A 4.883% 08/15/2040 DD 08/16/10 990,000.000 1,060,330.68 CROWN CORK & SEAL CO INC 7.375% 12/15/2026 DD 12/17/96 968,000.000 1,033,340.00 CROWNROCK LP / CROWNROCK 144A 7.125% 04/15/2021 DD 04/15/13 66,000.000 63,195.00 CROWNROCK LP / CROWNROCK 144A 7.750% 02/15/2023 DD 02/06/15 948,000.000 917,190.00 CSC HOLDINGS LLC 5.250% 06/01/2024 DD 05/23/14 85,000.000 75,756.25 CSC HOLDINGS LLC 6.750% 11/15/2021 DD 11/15/11 457,000.000 469,339.00 CSI COMPRESSCO LP / COMPRESSCO 7.250% 08/15/2022 DD 02/15/15 710,000.000 495,225.00 CSMC TRUST 2014-ICE ICE D 144A VAR RT 04/15/2027 DD 06/16/14 0.150 0.15

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 103 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

CSMC TRUST 2015-GL GLPB A 144A 3.639% 11/15/2034 DD 12/01/15 1,810,000.000 1,908,076.30 CUMULUS MEDIA 12/13 TLB 963,012.280 647,625.76 CURO HEALTH 2/15 TLB 495,000.000 488,505.60 CUTWATER 2015-I LTD 1A E 144A VAR RT 07/15/2027 DD 06/03/15 272,000.000 201,543.02 CVS HEALTH CORP 144A 4.750% 12/01/2022 DD 06/01/15 315,000.000 353,473.16 CVS HEALTH CORP 3.875% 07/20/2025 DD 07/20/15 3,295,000.000 3,555,716.88 CWABS REVOLVING HOME EQUI O 1A VAR RT 02/15/2034 DD 09/30/04 467,414.709 426,541.91 CWABS REVOLVING HOME EQUI P 2A VAR RT 03/15/2034 DD 10/29/04 39,877.199 34,793.20 CWABS REVOLVING HOME EQUI U 2A VAR RT 03/15/2034 DD 12/30/04 180,707.792 149,228.24 CWABS REVOLVING HOME EQUIT I A VAR RT 02/15/2034 DD 09/29/04 483,138.645 438,945.23 CWHEQ REVOLVING HOME EQUI A 2A VAR RT 04/15/2035 DD 02/24/05 119,000.910 101,005.20 CWHEQ REVOLVING HOME EQUI E 2A VAR RT 07/15/2036 DD 06/29/06 1,516,308.460 1,269,661.18 CWHEQ REVOLVING HOME EQUI G 2A VAR RT 12/15/2035 DD 09/30/05 743,557.246 635,976.26 CWHEQ REVOLVING HOME EQUI I 2A VAR RT 01/15/2037 DD 12/29/06 414,731.352 374,646.24 CWHEQ REVOLVING HOME EQUI I 2A VAR RT 02/15/2036 DD 12/28/05 42,854.890 37,270.50 CYRUSONE LP / CYRUSONE FINANCE 6.375% 11/15/2022 DD 05/15/13 1,688,000.000 1,751,300.00 DAIMLER FINANCE NORTH AME 144A 2.875% 03/10/2021 DD 03/10/14 95,000.000 97,099.12 DANA HOLDING CORP 5.500% 12/15/2024 DD 12/09/14 224,000.000 211,680.00 DAVITA 6/14 TLB 1,031,625.000 1,032,914.53 DAVITA HEALTHCARE PARTNERS INC 5.125% 07/15/2024 DD 06/13/14 4,453,000.000 4,497,530.00 DAVITA HEALTHCARE PARTNERS INC 5.750% 08/15/2022 DD 08/28/12 1,413,000.000 1,474,818.75 DAYTON POWER & LIGHT CO/THE 1.875% 09/15/2016 DD 03/15/14 1,085,000.000 1,089,446.33 DB MASTER FINANCE 1A A2II 144A 3.980% 02/20/2045 DD 01/26/15 4,141,170.000 4,050,064.26 DCP MIDSTREAM LLC 144A VAR RT 05/21/2043 DD 05/21/13 1,135,000.000 584,525.00 DEALER TIRE 12/14 TLB 0.000% 12/22/2021 DD 12/02/14 296,250.010 295,509.38 DELL 6/15 (USD) COV-LITE TLB2 1,225,117.180 1,223,806.30 DELTA AIR LINES (4/11) TLB 0.000% 04/20/2017 DD 04/15/11 0.010 0.01 DENVER CO PUBLIC SCHS COPS 3.098% 12/15/2024 DD 04/23/13 1,940,000.000 2,050,987.40 DIAMONDBACK ENERGY INC 7.625% 10/01/2021 DD 10/01/14 126,000.000 129,780.00 DIGITAL REALTY TRUST LP 4.750% 10/01/2025 DD 10/01/15 580,000.000 590,501.48 DIGITALGLOBE INC 144A 5.250% 02/01/2021 DD 01/31/13 700,000.000 637,000.00 DISCOVER CARD EXECUTION A3 A3 1.220% 10/15/2019 DD 05/05/14 1,465,000.000 1,467,744.09 DISCOVER FINANCIAL SERVICES 5.200% 04/27/2022 DD 10/27/12 730,000.000 780,593.38 DISH DBS CORP 5.000% 03/15/2023 DD 12/27/12 45,000.000 39,712.50 DISH DBS CORP 5.875% 07/15/2022 DD 05/16/12 1,260,000.000 1,193,850.00 DISH DBS CORP 5.875% 11/15/2024 DD 11/20/14 310,000.000 284,425.00 DISH DBS CORP 6.750% 06/01/2021 DD 05/05/11 716,000.000 739,270.00 DISH DBS CORP 7.875% 09/01/2019 DD 08/17/09 629,000.000 691,900.00 DISTRIBUTION FINANCIAL SER 1 D 7.730% 11/15/2022 DD 11/27/01 1,120,674.663 221,333.24

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 104 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

DOLLAR TREE 6/15 TLB1 0.000% 07/06/2022 DD 05/26/15 320,857.160 321,819.73 DOLLAR TREE INC 144A 5.750% 03/01/2023 DD 02/23/15 799,000.000 846,940.00 DOMINION GAS HOLDINGS LLC 3.600% 12/15/2024 DD 12/08/14 165,000.000 169,405.01 DOMINION RESOURCES INC/VA 3.625% 12/01/2024 DD 11/25/14 495,000.000 502,235.42 DOMINION RESOURCES INC/VA VAR RT 10/01/2054 DD 10/03/14 1,195,000.000 1,146,005.00 DOOSAN INFRACORE 5/14 COV-LITE TLB 399,504.050 393,843.08 DR HORTON INC 3.750% 03/01/2019 DD 02/24/14 115,000.000 117,300.00 DR HORTON INC 4.000% 02/15/2020 DD 02/09/15 253,000.000 260,590.00 DR HORTON INC 4.375% 09/15/2022 DD 09/14/12 127,000.000 127,317.50 DR HORTON INC 4.750% 02/15/2023 DD 02/05/13 500,000.000 507,500.00 DR HORTON INC 5.750% 08/15/2023 DD 08/05/13 25,000.000 27,000.00 DR PEPPER SNAPPLE GROUP INC 3.400% 11/15/2025 DD 11/09/15 460,000.000 475,634.48 DUKE ENERGY CAROLINAS LLC 2.500% 03/15/2023 DD 03/11/16 815,000.000 823,944.63 DUKE ENERGY PROGRESS LLC 3.250% 08/15/2025 DD 08/13/15 1,005,000.000 1,054,329.42 DUKE UNIVERSITY 4.077% 10/01/2048 DD 10/27/15 1,045,000.000 1,109,205.85 DUPONT (E.I.) DE NEMOURS 5/15 0.000% 05/12/2022 DD 04/22/15 347,375.000 330,874.69 DUPONT FABROS TECHNOLOGY LP 5.625% 06/15/2023 DD 06/09/15 1,190,000.000 1,219,750.00 DYNEGY 4/13 TLB2 0.040 0.04 E*TRADE FINANCIAL CORP 4.625% 09/15/2023 DD 03/05/15 1,095,000.000 1,092,262.50 E*TRADE FINANCIAL CORP 5.375% 11/15/2022 DD 11/17/14 654,000.000 690,787.50 E.ON INTERNATIONAL FINANCE BV 6.000% 10/30/2019 100,000.000 161,604.70 ECO SERVICES OPERATIONS L 144A 8.500% 11/01/2022 DD 10/24/14 371,000.000 341,320.00 EDP - ENERGIAS DE PORTUGA REGS VAR RT 09/16/2075 1,100,000.000 1,225,301.14 EDUCATIONAL FUNDING 1A A2 144A VAR RT 10/25/2029 DD 11/14/06 139,774.310 129,574.87 EFIH 6/14 DIP TL 0.000% 12/19/2016 DD 04/29/14 1,300,000.000 1,297,972.00 ELECTRICITE DE FRANCE SA 144A VAR RT 01/29/2049 DD 01/29/13 670,000.000 613,050.00 ELECTRICITE DE FRANCE SA REGS VAR RT 12/29/2049 700,000.000 920,087.60 ELI LILLY & CO 2.750% 06/01/2025 DD 03/05/15 2,560,000.000 2,622,696.96 EMAC OWNER TRUST 200 1 A1 144A VAR RT 001/15/2027 DD 02/01/00 72,010.080 59,543.34 EMAC OWNER TRUST 200 1 A2 144A VAR RT 001/15/2027 DD 02/01/00 456,249.850 374,980.34 EMDEON INC 11.000% 12/31/2019 DD 06/30/12 560,000.000 592,200.00 EMDEON INC 144A 6.000% 02/15/2021 DD 08/12/15 281,000.000 273,975.00 EMI MUSIC PUBLISHING 8/15 TL 573,562.500 571,985.20 ENABLE MIDSTREAM PARTNERS LP VAR RT 05/15/2024 DD 11/15/15 500,000.000 395,286.00 ENDO LTD / ENDO FINANCE L 144A 6.000% 02/01/2025 DD 01/27/15 541,000.000 507,187.50 ENDO LTD / ENDO FINANCE L 144A 6.000% 07/15/2023 DD 07/09/15 1,536,000.000 1,445,760.00 ENDO PHARMACEUTICALS 6/15 TLB 998,375.000 982,151.41 ENEL SPA 144A VAR RT 09/24/2073 DD 09/24/13 1,475,000.000 1,640,937.50 ENERGIZER 5/15 TLB 0.000% 06/30/2022 DD 05/06/15 248,750.000 247,195.31

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 105 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ENERGY N W WA ELEC REVENUE 2.814% 07/01/2024 DD 05/06/15 2,205,000.000 2,250,908.10 ENERGY TRANSFER EQUITY LP 5.500% 06/01/2027 DD 05/22/15 1,747,000.000 1,401,967.50 ENTEGRIS 4/14 COV-LITE TLB 805,695.620 803,681.38 ENTEGRIS INC 144A 6.000% 04/01/2022 DD 04/01/14 715,000.000 725,725.00 ENTERGY MISSISSIPPI INC 3.100% 07/01/2023 DD 12/11/12 380,000.000 384,093.36 ENTERPRISE PRODUCTS OPERATING 4.900% 05/15/2046 DD 05/07/15 125,000.000 120,148.88 ENTERPRISE PRODUCTS OPERATING VAR RT 01/15/2068 DD 05/24/07 1,995,000.000 2,022,930.00 ENVISION HEALTHCARE 11/15 COV-LITE TLB2 289,275.000 289,118.79 EOG RESOURCES INC 4.150% 01/15/2026 DD 01/14/16 520,000.000 540,724.08 EQUIFIRST MORTGAGE LOAN T 1 M2 VAR RT 04/25/2035 DD 03/17/05 1,480,000.000 1,436,929.04 EQUINIX 11/15 (USD) TLB 0.000% 12/07/2022 DD 11/20/15 230,000.000 230,000.00 EQUINIX INC 4.875% 04/01/2020 DD 03/05/13 631,000.000 652,769.50 EQUINIX INC 5.375% 01/01/2022 DD 11/20/14 155,000.000 161,393.75 EQUINIX INC 5.750% 01/01/2025 DD 11/20/14 1,035,000.000 1,086,750.00 EQUINIX INC 5.875% 01/15/2026 DD 12/04/15 1,117,000.000 1,177,876.50 EXAMWORKS GROUP INC 5.625% 04/15/2023 DD 04/16/15 451,000.000 460,020.00 EXPORT DEVELOPMENT CANADA 3.250% 08/08/2017 230,000.000 178,706.68 EXPORT DEVELOPMENT CANADA 3.500% 02/20/2018 360,000.000 254,228.36 EXPORT DEVELOPMENT CANADA 4.875% 01/24/2019 2,050,000.000 1,505,559.83 EXPRESS SCRIPTS HOLDING CO 3.500% 06/15/2024 DD 06/05/14 2,293,000.000 2,272,601.48 EXXON MOBIL CORP 2.709% 03/06/2025 DD 03/06/15 2,270,000.000 2,282,714.27 FAIRWAY OUTDOOR FUND 1A B 144A 8.835% 10/15/2042 DD 11/05/12 4,418,320.000 4,547,776.78 FANNIE MAE CONNECTICUT C02 1M1 VAR RT 05/25/2024 DD 05/28/14 756,985.510 747,110.64 FANNIE MAE CONNECTICUT C04 1M1 VAR RT 04/25/2028 DD 10/27/15 1,124,735.840 1,124,382.45 FANNIE MAE CONNECTICUT C04 2M1 VAR RT 04/25/2028 DD 10/27/15 643,963.280 644,697.21 FEDERAL HOME LN BK CONS BD 1.375% 02/18/2021 DD 02/18/16 1,555,000.000 1,555,620.45 FEDERAL HOME LN BK CONS BD 2.875% 09/13/2024 DD 08/15/14 730,000.000 776,668.90 FEDERAL MOGUL 4/14 TLC 541,750.000 489,124.41 FEDERAL NATL MTG ASSN 6.625% 11/15/2030 DD 11/03/00 605,000.000 899,116.52 FEDEX CORP 4.100% 04/15/2043 DD 04/11/13 270,000.000 256,278.60 FEDEX CORP 4.550% 04/01/2046 DD 03/24/16 2,070,000.000 2,127,351.42 FEDEX CORP 4.750% 11/15/2045 DD 10/23/15 220,000.000 232,832.39 FEDEX CORP 5.100% 01/15/2044 DD 01/09/14 150,000.000 167,112.15 FERRELLGAS LP / FERRELLGAS FIN 6.750% 01/15/2022 DD 07/15/14 1,015,000.000 900,812.50 FFCA SECURED FRANCHI 2 B1 144A 8.270% 05/18/2026 DD 09/01/99 664,000.000 657,360.00 FHA KY MTG #4 MT TABOR APTS 7.5 02-01-2022 503,399.150 531,559.25 FHA KY MTG #9 WATTERSON LAKEVIEW 7.5 09-01 582,602.680 615,193.47 FHLMC POOL #A8-7441 4.000% 07/01/2039 DD 07/01/09 2,987,214.910 3,244,481.51 FHLMC POOL #A9-1518 4.500% 03/01/2040 DD 03/01/10 430,518.440 468,976.21

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 106 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FHLMC POOL #A9-1818 5.000% 04/01/2040 DD 04/01/10 12,682.080 14,181.49 FHLMC POOL #A9-5825 4.000% 12/01/2040 DD 12/01/10 105,400.380 112,786.99 FHLMC POOL #B1-0151 5.000% 10/01/2018 DD 10/01/03 7,993.790 8,254.26 FHLMC POOL #B1-3067 4.500% 03/01/2019 DD 03/01/04 2,805.240 2,900.09 FHLMC POOL #C0-1416 7.000% 09/01/2032 DD 09/01/02 66,853.950 81,906.57 FHLMC POOL #C0-1418 5.500% 10/01/2032 DD 10/01/02 315,823.990 356,007.52 FHLMC POOL #C0-1458 7.000% 11/01/2032 DD 11/01/02 36,072.810 42,669.34 FHLMC POOL #C0-1844 4.500% 04/01/2034 DD 04/01/04 89,628.420 97,674.35 FHLMC POOL #C6-8290 7.000% 06/01/2032 DD 06/01/02 18,247.530 21,010.36 FHLMC POOL #C6-8877 7.000% 07/01/2032 DD 07/01/02 21,760.770 22,412.54 FHLMC POOL #C6-9057 7.000% 07/01/2032 DD 07/01/02 3,567.860 3,675.11 FHLMC POOL #C7-0091 7.000% 08/01/2032 DD 08/01/02 17,639.460 21,506.53 FHLMC POOL #D6-0685 9.000% 06/01/2025 DD 06/01/95 687.660 690.62 FHLMC POOL #E0-1641 4.500% 05/01/2019 DD 05/01/04 46,941.220 48,600.99 FHLMC POOL #E9-0419 6.000% 07/01/2017 DD 06/01/02 1,506.080 1,529.72 FHLMC POOL #E9-0531 6.000% 07/01/2017 DD 07/01/02 4,732.300 4,823.23 FHLMC POOL #E9-0532 6.000% 07/01/2017 DD 07/01/02 5,788.010 5,892.88 FHLMC POOL #E9-0560 6.000% 07/01/2017 DD 07/01/02 483.500 487.20 FHLMC POOL #E9-0683 6.000% 08/01/2017 DD 07/01/02 21,221.960 21,601.68 FHLMC POOL #E9-0689 6.000% 08/01/2017 DD 07/01/02 3,050.250 3,110.22 FHLMC POOL #E9-1434 6.000% 09/01/2017 DD 09/01/02 3,224.980 3,290.07 FHLMC POOL #E9-7197 5.000% 06/01/2018 DD 06/01/03 33,462.570 34,552.93 FHLMC POOL #G0-0286 8.000% 02/01/2025 DD 02/01/95 3,541.350 3,978.25 FHLMC POOL #G0-1644 5.500% 02/01/2034 DD 01/01/04 170,037.750 191,822.75 FHLMC POOL #G0-1740 5.500% 12/01/2034 DD 11/01/04 189,064.530 213,213.76 FHLMC POOL #G0-1840 5.000% 07/01/2035 DD 06/01/05 136,930.030 151,931.46 FHLMC POOL #G0-1864 5.000% 01/01/2034 DD 07/01/05 683,057.700 763,204.78 FHLMC POOL #G0-5651 5.000% 09/01/2039 DD 09/01/09 323,733.060 365,698.90 FHLMC POOL #G0-5958 5.000% 08/01/2040 DD 08/01/10 154,448.030 170,536.51 FHLMC POOL #G0-7496 4.000% 06/01/2042 DD 10/01/13 88,856.560 95,026.79 FHLMC POOL #G0-8058 5.500% 05/01/2035 DD 05/01/05 111,958.050 125,973.34 FHLMC POOL #G0-8502 3.000% 08/01/2042 DD 08/01/12 556,048.600 570,292.14 FHLMC POOL #G0-8530 3.500% 04/01/2043 DD 04/01/13 1,460,565.220 1,530,539.63 FHLMC POOL #G0-8537 3.000% 07/01/2043 DD 07/01/13 710,328.940 728,339.98 FHLMC POOL #G0-8566 3.500% 01/01/2044 DD 01/01/14 742,163.030 777,487.96 FHLMC POOL #G0-8655 4.000% 07/01/2045 DD 07/01/15 309,358.480 330,480.31 FHLMC POOL #G1-1565 4.500% 01/01/2019 DD 05/01/04 115,228.160 119,032.63 FHLMC POOL #G1-1776 4.500% 09/01/2020 DD 09/01/05 51,834.520 54,000.05 FHLMC POOL #G1-1999 4.500% 03/01/2021 DD 05/01/06 63,647.160 66,243.23

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 107 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FHLMC POOL #G1-3826 4.000% 05/01/2025 DD 04/01/10 91,660.220 97,862.80 FHLMC POOL #G1-4399 4.000% 06/01/2025 DD 02/01/12 157,066.260 166,094.89 FHLMC POOL #G1-8380 3.500% 03/01/2026 DD 03/01/11 1,181,712.020 1,250,160.18 FHLMC POOL #G1-8484 3.000% 10/01/2028 DD 10/01/13 1,148,505.820 1,204,948.91 FHLMC POOL #G1-8527 3.000% 10/01/2029 DD 10/01/14 743,781.380 778,145.56 FHLMC POOL #G1-8558 3.500% 06/01/2030 DD 06/01/15 341,489.940 361,118.92 FHLMC POOL #J2-2021 2.500% 01/01/2028 DD 01/01/13 863,500.490 890,825.57 FHLMC POOL #J2-3440 2.500% 04/01/2028 DD 04/01/13 1,026,964.770 1,058,136.45 FHLMC POOL #Q0-0093 4.000% 04/01/2041 DD 04/01/11 550,429.130 589,012.26 FHLMC POOL #Q0-1813 4.500% 07/01/2041 DD 07/01/11 150,801.790 164,344.67 FHLMC POOL #Q0-2144 4.000% 07/01/2041 DD 07/01/11 790,675.400 845,933.78 FHLMC POOL #Q0-4649 3.500% 11/01/2041 DD 11/01/11 2,828,511.180 2,965,298.46 FHLMC POOL #Q0-6290 3.500% 02/01/2042 DD 02/01/12 893,063.720 936,106.28 FHLMC POOL #Q1-4756 3.000% 01/01/2043 DD 01/01/13 692,910.340 710,656.88 FHLMC POOL #Q1-7638 3.000% 04/01/2043 DD 04/01/13 3,003,897.840 3,097,534.89 FHLMC POOL #Q2-0856 3.000% 08/01/2043 DD 08/01/13 305,478.140 313,176.85 FHLMC MULTICLASS MTG K023 A2 2.307% 08/25/2022 DD 12/01/12 725,000.000 742,379.34 FHLMC MULTICLASS MTG K042 A2 2.670% 12/25/2024 DD 01/01/15 955,000.000 983,433.31 FHLMC MULTICLASS MTG K043 X3IO VAR RT 02/25/2043 DD 03/01/15 1,114,000.000 117,086.30 FIFTH THIRD BANK/CINCINNATI OH 3.850% 03/15/2026 DD 03/15/16 180,000.000 184,391.64 FIGUEROA CLO 2013-1 1A D 144A VAR RT 03/21/2024 DD 03/21/13 812,500.000 512,890.63 FILTRATION GRP COV-LT TLB 0.000% 11/23/2020 DD 11/04/13 523,658.270 520,820.04 FINN SQUARE CLO LTD 1A D 144A VAR RT 12/24/2023 DD 12/20/12 503,000.000 423,633.09 FIRST DATA 1/14 (USD) EXTENDED TL 500,000.000 498,360.00 FIRST DATA 7/14 (USD) TL 0.000% 03/23/2018 DD 07/07/14 605,462.490 603,797.46 FIRST DATA CORP 144A 5.000% 01/15/2024 DD 11/25/15 600,000.000 600,750.00 FIRST DATA CORP 144A 5.375% 08/15/2023 DD 08/11/15 919,000.000 941,975.00 FIRST DATA CORP 144A 5.750% 01/15/2024 DD 11/25/15 1,973,000.000 1,972,802.70 FIRST DATA CORP 144A 7.000% 12/01/2023 DD 11/18/15 1,196,000.000 1,207,960.00 FIRST NIAGARA FINANCIAL GROUP 7.250% 12/15/2021 DD 12/13/11 450,000.000 523,633.95 FIRSTENERGY TRANSMISSION 144A 4.350% 01/15/2025 DD 05/19/14 4,250,000.000 4,430,421.00 FIRSTMERIT CORP 4.350% 02/04/2023 DD 02/04/13 160,000.000 163,779.37 FISCAL YEAR 2005 SECURITIZATIO 4.930% 04/01/2020 DD 12/02/04 935,000.000 1,007,387.70 FLOATEL 5/14 COV-LITE TL 1,154,717.160 519,622.72 FLORIDA ST BRD OF ADMIN FIN CO 2.638% 07/01/2021 DD 03/08/16 2,390,000.000 2,442,078.10 FNMA POOL #0129940 8.000% 11/01/2018 DD 08/01/91 393.230 394.42 FNMA POOL #0190130 6.000% 11/01/2023 DD 11/01/93 15,712.000 17,963.08 FNMA POOL #0250102 8.000% 08/01/2024 DD 08/01/94 23,494.410 27,027.89 FNMA POOL #0250998 7.500% 07/01/2017 DD 06/01/97 393.020 396.47

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 108 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FNMA POOL #0251568 6.500% 03/01/2028 DD 02/01/98 745.960 853.15 FNMA POOL #0251898 6.500% 08/01/2028 DD 07/01/98 1,981.370 2,314.44 FNMA POOL #0251967 6.500% 09/01/2028 DD 08/01/98 1,123.610 1,309.11 FNMA POOL #0252342 6.500% 04/01/2029 DD 03/01/99 1,970.280 2,312.07 FNMA POOL #0252439 6.500% 05/01/2029 DD 04/01/99 6,986.470 7,990.40 FNMA POOL #0252453 6.500% 03/01/2029 DD 03/01/99 2,638.340 3,017.46 FNMA POOL #0253076 6.500% 12/01/2029 DD 12/01/99 1,921.260 2,197.34 FNMA POOL #0253583 7.000% 01/01/2031 DD 12/01/00 1,152.990 1,396.48 FNMA POOL #0254239 6.500% 03/01/2032 DD 02/01/02 2,353.160 2,797.87 FNMA POOL #0254449 7.000% 09/01/2032 DD 08/01/02 48,980.440 60,067.35 FNMA POOL #0254517 7.000% 11/01/2032 DD 10/01/02 60,606.260 74,639.90 FNMA POOL #0254800 5.500% 07/01/2023 DD 06/01/03 185,938.150 208,377.71 FNMA POOL #0255493 5.500% 11/01/2024 DD 10/01/04 131,007.220 146,817.55 FNMA POOL #0268416 7.000% 01/01/2024 DD 01/01/94 639.440 661.79 FNMA POOL #0313389 7.000% 03/01/2027 DD 02/01/97 153.020 180.53 FNMA POOL #0313877 6.500% 12/01/2027 DD 11/01/97 866.290 990.77 FNMA POOL #0323397 6.500% 11/01/2028 DD 10/01/98 1,930.590 2,208.01 FNMA POOL #0323422 6.500% 12/01/2028 DD 11/01/98 5,542.140 6,501.63 FNMA POOL #0345158 9.000% 06/01/2026 DD 06/01/96 1,807.960 1,847.09 FNMA POOL #0353988 7.000% 08/01/2026 DD 08/01/96 258.010 267.26 FNMA POOL #0354869 9.000% 08/01/2026 DD 08/01/96 4,727.830 4,746.92 FNMA POOL #0357243 6.500% 06/01/2032 DD 06/01/02 615.980 732.93 FNMA POOL #0390557 7.000% 08/01/2027 DD 08/01/97 198.900 199.42 FNMA POOL #0441550 6.500% 09/01/2028 DD 08/01/98 4,266.070 4,879.09 FNMA POOL #0447954 6.500% 10/01/2028 DD 10/01/98 3,775.470 4,317.99 FNMA POOL #0452026 6.500% 11/01/2028 DD 11/01/98 5,100.530 5,913.88 FNMA POOL #0456832 6.500% 02/01/2029 DD 01/01/99 2,257.400 2,581.78 FNMA POOL #0479506 6.500% 04/01/2029 DD 04/01/99 625.730 715.64 FNMA POOL #0484719 6.500% 03/01/2029 DD 03/01/99 492.290 563.03 FNMA POOL #0484940 6.500% 06/01/2029 DD 06/01/99 5,284.770 6,044.17 FNMA POOL #0485336 6.500% 02/01/2029 DD 02/01/99 267.420 305.85 FNMA POOL #0489888 6.500% 05/01/2029 DD 06/01/99 2,193.270 2,508.43 FNMA POOL #0490102 6.500% 03/01/2029 DD 03/01/99 5,134.410 5,872.20 FNMA POOL #0493076 7.000% 06/01/2029 DD 06/01/99 1,032.490 1,035.22 FNMA POOL #0493511 6.500% 04/01/2029 DD 04/01/99 3,563.040 4,075.03 FNMA POOL #0497991 6.500% 06/01/2029 DD 06/01/99 549.230 628.15 FNMA POOL #0504304 7.000% 08/01/2029 DD 07/01/99 245.250 251.32 FNMA POOL #0505049 6.500% 07/01/2016 DD 07/01/01 54.310 54.37 FNMA POOL #0516846 7.000% 10/01/2029 DD 10/01/99 200.820 205.99

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 109 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FNMA POOL #0518303 6.500% 10/01/2029 DD 10/01/99 2,660.170 3,042.43 FNMA POOL #0535701 6.500% 11/01/2030 DD 01/01/01 8,098.080 9,565.05 FNMA POOL #0535915 7.000% 04/01/2031 DD 04/01/01 2,603.800 3,105.02 FNMA POOL #0555254 6.500% 01/01/2033 DD 01/01/03 7,077.570 8,193.85 FNMA POOL #0555445 5.000% 05/01/2018 DD 04/01/03 2,461.920 2,543.70 FNMA POOL #0555515 6.500% 12/01/2017 DD 05/01/03 18,408.250 18,795.68 FNMA POOL #0555800 5.500% 10/01/2033 DD 09/01/03 107,981.610 122,196.01 FNMA POOL #0572254 6.500% 03/01/2031 DD 03/01/01 602.950 689.59 FNMA POOL #0578052 7.000% 05/01/2031 DD 05/01/01 2,087.910 2,352.41 FNMA POOL #0580882 8.000% 05/01/2031 DD 05/01/01 44,029.350 51,646.17 FNMA POOL #0585074 6.500% 06/01/2031 DD 06/01/01 1,412.100 1,615.01 FNMA POOL #0586697 6.500% 06/01/2031 DD 06/01/01 1,081.200 1,236.56 FNMA POOL #0588938 6.500% 06/01/2031 DD 06/01/01 3,809.010 4,356.35 FNMA POOL #0589448 6.500% 07/01/2031 DD 07/01/01 852.650 975.17 FNMA POOL #0593152 6.500% 07/01/2031 DD 07/01/01 524.040 599.34 FNMA POOL #0599671 6.500% 09/01/2031 DD 08/01/01 3,627.120 4,148.32 FNMA POOL #0605492 6.500% 08/01/2016 DD 09/01/01 141.920 142.11 FNMA POOL #0606552 7.000% 09/01/2031 DD 09/01/01 24,954.620 29,413.17 FNMA POOL #0609848 6.500% 10/01/2031 DD 10/01/01 1,878.190 2,148.08 FNMA POOL #0619179 8.000% 11/01/2031 DD 11/01/01 6,066.400 6,426.57 FNMA POOL #0623713 6.500% 02/01/2032 DD 02/01/02 25.860 29.58 FNMA POOL #0626798 6.500% 03/01/2017 DD 03/01/02 318.930 321.07 FNMA POOL #0635897 7.000% 04/01/2032 DD 03/01/02 30,983.690 33,202.29 FNMA POOL #0637583 7.000% 03/01/2032 DD 03/01/02 4,601.540 5,208.41 FNMA POOL #0638957 6.500% 04/01/2032 DD 04/01/02 517.940 592.37 FNMA POOL #0639055 6.500% 05/01/2032 DD 05/01/02 720.810 824.39 FNMA POOL #0639722 8.000% 03/01/2032 DD 03/01/02 6,611.240 6,754.87 FNMA POOL #0641208 7.000% 06/01/2032 DD 06/01/02 20,299.770 23,489.90 FNMA POOL #0643137 7.000% 05/01/2032 DD 05/01/02 9,480.780 10,642.60 FNMA POOL #0645570 7.000% 06/01/2032 DD 05/01/02 5,968.360 6,189.73 FNMA POOL #0647416 7.000% 09/01/2032 DD 09/01/02 8,136.120 8,415.79 FNMA POOL #0647998 7.000% 06/01/2032 DD 06/01/02 37,422.370 41,197.44 FNMA POOL #0649186 7.000% 07/01/2032 DD 07/01/02 13,371.930 14,105.20 FNMA POOL #0654349 7.000% 06/01/2032 DD 07/01/02 5,947.310 6,147.38 FNMA POOL #0655013 7.000% 08/01/2032 DD 08/01/02 31,549.530 36,115.28 FNMA POOL #0655083 6.500% 08/01/2032 DD 08/01/02 710.830 812.97 FNMA POOL #0656355 7.000% 08/01/2032 DD 08/01/02 8,438.600 8,594.62 FNMA POOL #0665647 6.500% 10/01/2032 DD 10/01/02 2,735.220 3,128.26 FNMA POOL #0688386 6.500% 02/01/2033 DD 02/01/03 5,353.230 6,122.47

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 110 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FNMA POOL #0725228 6.000% 03/01/2034 DD 02/01/04 563,316.700 652,213.05 FNMA POOL #0725232 5.000% 03/01/2034 DD 02/01/04 852,738.230 947,838.80 FNMA POOL #0725773 5.500% 09/01/2034 DD 08/01/04 110,807.300 125,500.72 FNMA POOL #0726938 4.500% 08/01/2033 DD 08/01/03 4,973.290 5,428.15 FNMA POOL #0727286 5.000% 10/01/2033 DD 09/01/03 1,250,828.970 1,389,880.98 FNMA POOL #0735230 5.500% 02/01/2035 DD 01/01/05 146,188.330 165,361.11 FNMA POOL #0735503 6.000% 04/01/2035 DD 04/01/05 239,819.750 276,694.95 FNMA POOL #0738582 7.000% 10/01/2032 DD 09/01/03 3,550.440 4,111.45 FNMA POOL #0740040 7.000% 09/01/2033 DD 09/01/03 33,116.300 37,202.61 FNMA POOL #0740597 7.000% 12/01/2030 DD 09/01/03 1,408.870 1,433.01 FNMA POOL #0743381 7.000% 08/01/2028 DD 10/01/03 9,530.400 10,301.54 FNMA POOL #0743515 7.000% 10/01/2033 DD 10/01/03 13,822.810 16,042.01 FNMA POOL #0745524 5.000% 04/01/2020 DD 04/01/06 180,827.530 188,512.48 FNMA POOL #0745814 6.500% 07/01/2036 DD 08/01/06 67,204.020 78,555.68 FNMA POOL #0745932 6.500% 11/01/2036 DD 10/01/06 63,302.980 73,755.12 FNMA POOL #0745948 6.500% 10/01/2036 DD 10/01/06 72,431.200 83,663.84 FNMA POOL #0750145 7.000% 10/01/2033 DD 10/01/03 2,630.670 2,682.22 FNMA POOL #0753118 4.500% 12/01/2033 DD 12/01/03 12,689.410 13,835.97 FNMA POOL #0763704 5.000% 04/01/2034 DD 04/01/04 75,636.380 84,716.64 FNMA POOL #0776738 4.500% 05/01/2034 DD 05/01/04 2,219.810 2,425.35 FNMA POOL #0787486 6.500% 06/01/2034 DD 06/01/04 43,315.660 49,539.93 FNMA POOL #0888632 5.000% 04/01/2036 DD 08/01/07 85,267.100 94,717.38 FNMA POOL #0888743 6.000% 01/01/2036 DD 09/01/07 264,073.170 303,296.60 FNMA POOL #0909686 6.500% 02/01/2037 DD 01/01/07 3,730.380 4,266.42 FNMA POOL #0931135 4.500% 05/01/2039 DD 05/01/09 141,142.420 154,197.39 FNMA POOL #0AB1388 4.500% 08/01/2040 DD 07/01/10 500,350.050 546,154.45 FNMA POOL #0AB5716 3.000% 07/01/2027 DD 06/01/12 925,492.920 968,973.25 FNMA POOL #0AB7615 3.500% 01/01/2043 DD 12/01/12 1,029,875.850 1,082,291.25 FNMA POOL #0AD4775 4.000% 03/01/2025 DD 03/01/10 292,532.010 311,451.89 FNMA POOL #0AD9816 4.000% 07/01/2025 DD 07/01/10 106,697.230 112,475.04 FNMA POOL #0AE0828 3.500% 02/01/2041 DD 01/01/11 550,600.120 578,486.56 FNMA POOL #0AE0968 4.000% 07/01/2019 DD 02/01/11 80,550.890 83,868.00 FNMA POOL #0AH0351 4.500% 02/01/2041 DD 02/01/11 1,136,640.070 1,240,604.95 FNMA POOL #0AH3804 4.000% 02/01/2041 DD 01/01/11 951,175.710 1,019,244.60 FNMA POOL #0AH5849 4.500% 02/01/2041 DD 02/01/11 1,101,956.550 1,209,906.36 FNMA POOL #0AI8485 5.000% 07/01/2041 DD 07/01/11 151,052.230 167,689.06 FNMA POOL #0AJ1589 4.000% 10/01/2041 DD 09/01/11 2,391,165.440 2,562,495.77 FNMA POOL #0AL1059 5.000% 10/01/2041 DD 11/01/11 165,144.240 183,305.87 FNMA POOL #0AL3576 4.000% 05/01/2043 DD 04/01/13 4,246,334.600 4,548,785.17

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 111 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FNMA POOL #0AL6847 3.500% 05/01/2045 DD 05/01/15 4,036,900.150 4,258,108.39 FNMA POOL #0AL7083 6.500% 10/01/2039 DD 07/01/15 520,458.200 604,341.07 FNMA POOL #0AL7366 4.500% 08/01/2042 DD 09/01/15 2,338,342.640 2,552,348.44 FNMA POOL #0AO1013 3.500% 04/01/2042 DD 04/01/12 378,906.780 397,878.55 FNMA POOL #0AO4137 3.500% 06/01/2042 DD 06/01/12 2,554,715.950 2,684,580.41 FNMA POOL #0AO4641 3.500% 06/01/2042 DD 05/01/12 852,570.720 895,716.77 FNMA POOL #0AO5540 3.000% 07/01/2042 DD 07/01/12 849,053.700 872,714.64 FNMA POOL #0AO9948 4.000% 07/01/2042 DD 07/01/12 862,165.960 923,777.87 FNMA POOL #0AQ7920 3.000% 12/01/2042 DD 12/01/12 343,067.510 352,703.97 FNMA POOL #0AR7400 3.000% 06/01/2043 DD 05/01/13 1,684,400.230 1,731,442.56 FNMA POOL #0AR7525 3.000% 03/01/2043 DD 03/01/13 825,483.640 848,510.59 FNMA POOL #0AR9198 3.000% 03/01/2043 DD 03/01/13 985,889.010 1,013,549.23 FNMA POOL #0AS4315 2.500% 01/01/2030 DD 01/01/15 900,481.630 925,265.46 FNMA POOL #0AS5938 3.500% 10/01/2045 DD 09/01/15 1,594,234.450 1,672,296.86 FNMA POOL #0AT2015 3.000% 04/01/2043 DD 04/01/13 1,437,617.700 1,477,879.14 FNMA POOL #0AU1632 3.000% 07/01/2043 DD 07/01/13 151,120.670 155,341.15 FNMA POOL #0AX0126 4.500% 09/01/2044 DD 08/01/14 284,445.900 309,341.42 FNMA POOL #0AY5322 2.500% 04/01/2030 DD 03/01/15 1,846,213.510 1,897,026.59 FNMA POOL #0MA0614 4.000% 01/01/2041 DD 12/01/10 847,048.850 907,723.01 FNMA POOL #0MA0765 4.000% 06/01/2026 DD 05/01/11 113,059.900 120,840.38 FOLIO FDG FOUR LLC0159 VAR RT 01/01/2059 DD 04/11/13 7,800,000.000 3,251,062.00 FORD CREDIT AUTO OWNER TR A A3 1.280% 09/15/2019 DD 03/24/15 900,000.000 901,644.84 FORD CREDIT AUTO OWNER TR B A3 1.160% 11/15/2019 DD 05/26/15 890,000.000 889,928.80 FORD MOTOR CO 4.750% 01/15/2043 DD 01/08/13 1,670,000.000 1,675,467.58 FORD MOTOR CO 6.625% 10/01/2028 DD 09/30/98 1,820,000.000 2,209,236.12 FORD MOTOR CREDIT CO LLC 1.461% 03/27/2017 DD 03/27/15 150,000.000 149,794.35 FORD MOTOR CREDIT CO LLC 1.500% 01/17/2017 DD 11/12/13 1,065,000.000 1,063,664.49 FORD MOTOR CREDIT CO LLC 3.000% 06/12/2017 DD 06/12/12 215,000.000 217,838.43 FORD MOTOR CREDIT CO LLC 3.336% 03/18/2021 DD 03/18/16 1,280,000.000 1,317,176.32 FOREST LABORATORIES LLC 144A 4.875% 02/15/2021 DD 01/31/14 2,195,000.000 2,420,158.71 FOREST LABORATORIES LLC 144A 5.000% 12/15/2021 DD 12/10/13 2,615,000.000 2,919,446.15 FORMULA ONE 8/14 (USD) EXTENDED COV-LITE TL 1,866,474.550 1,811,152.24 FORTESCUE 11/13 COV-LITE TL 0.020 0.02 FOUR SEASONS 12/13 TL 0.010 0.01 FREDDIE MAC STRUCTURED DNA1 M2 VAR RT 10/25/2027 DD 04/28/15 1,150,000.000 1,137,412.79 FREDDIE MAC STRUCTURED HQA1 B VAR RT 03/25/2028 DD 09/28/15 507,000.000 415,286.59 FREMF 2012-K708 K708 X2A 144A 0.200% 02/25/2045 DD 06/01/12 47,000,353.940 221,146.06 FREMF 2012-K708 K708 X2B 144A 0.200% 02/25/2045 DD 06/01/12 10,000,006.000 53,531.03 FREMF 2012-K708 MO K708 D 144A 0.000% 02/25/2045 DD 06/01/12 4,615,391.000 3,799,364.48

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 112 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

FREMF 2015-K720 MO K720 C 144A VAR RT 07/25/2022 DD 11/01/15 219,000.000 173,186.97 FREMF 2015-KF11 MO KF11 B 144A VAR RT 09/25/2025 DD 11/24/15 1,823,340.000 1,715,197.71 FREMF 2015-KF11 MO KF11 C 144A VAR RT 09/25/2025 DD 11/24/15 5,470,107.000 4,646,883.25 FRESENIUS MEDICAL CARE US 144A 4.750% 10/15/2024 DD 10/29/14 201,000.000 204,266.25 FRESENIUS MEDICAL CARE US 144A 5.625% 07/31/2019 DD 01/26/12 48,000.000 52,365.02 FRESENIUS MEDICAL CARE US 144A 5.875% 01/31/2022 DD 01/26/12 1,312,000.000 1,441,232.00 FRESENIUS MEDICAL CARE US 144A 6.500% 09/15/2018 DD 09/14/11 410,000.000 447,412.50 FRONTIER COMMUNICATIONS C 144A 10.500% 09/15/2022 DD 09/25/15 349,000.000 357,725.00 FRONTIER COMMUNICATIONS C 144A 11.000% 09/15/2025 DD 09/25/15 2,275,000.000 2,286,375.00 FRONTIER COMMUNICATIONS C 144A 8.875% 09/15/2020 DD 09/25/15 1,290,000.000 1,339,987.50 FRONTIER COMMUNICATIONS CORP 6.875% 01/15/2025 DD 09/17/14 405,000.000 341,971.88 FRONTIER COMMUNICATIONS CORP 7.625% 04/15/2024 DD 04/10/13 507,000.000 449,962.50 FRONTIER COMMUNICATIONS CORP 8.750% 04/15/2022 DD 04/12/10 399,000.000 389,025.00 FRONTIER COMMUNICATIONS CORP 9.250% 07/01/2021 DD 05/22/12 48,000.000 48,960.00 GAHR COMMERCIAL M NRF DFX 144A VAR RT 12/15/2019 DD 02/01/15 1,150,000.000 1,088,521.70 GARDNER DENVER 7/13 (USD) TL 761,795.090 693,233.53 GCI 7/15 COV-LITE TLB 1,089,000.000 1,078,567.38 GCI INC 6.750% 06/01/2021 DD 05/20/11 1,000,000.000 1,020,000.00 GE CAPITAL INTERNATIONAL 144A 4.418% 11/15/2035 DD 10/26/15 239,000.000 259,647.93 GENERAL ELECTRIC CO 4.250% 01/17/2018 240,000.000 169,601.89 GENERAL ELECTRIC CO 6.750% 03/15/2032 DD 03/20/02 381,000.000 518,312.02 GENERAL ELECTRIC CO REGS 6.250% 09/29/2020 520,000.000 892,127.74 GENERAL MOTORS CO 6.250% 10/02/2043 DD 04/02/14 140,000.000 149,525.88 GENERAL MOTORS FINANCIAL CO IN 3.700% 11/24/2020 DD 11/24/15 630,000.000 642,041.20 GENERAL MOTORS FINANCIAL CO IN 4.200% 03/01/2021 DD 03/01/16 355,000.000 366,671.34 GENERAL MOTORS FINANCIAL CO IN 4.375% 09/25/2021 DD 09/25/14 1,445,000.000 1,493,446.52 GENERAL MOTORS FINANCIAL CO IN 5.250% 03/01/2026 DD 03/01/16 575,000.000 601,407.45 GENESYS 2/13 COV-LITE (USD) TL 0.000% 02/08/2020 DD 01/18/13 592,366.410 581,259.54 GENON ENERGY INC 9.500% 10/15/2018 DD 04/15/11 950,000.000 693,500.00 GEO GROUP INC/THE 5.875% 10/15/2024 DD 09/25/14 710,000.000 716,212.50 GEORGIA ST 4.250% 02/01/2030 DD 07/09/15 1,085,000.000 1,169,326.20 GEORGIA ST 4.503% 11/01/2025 DD 11/24/09 1,575,000.000 1,792,098.00 GFL ENVIRONMENTAL CORP 7.500% 18-JUN-2018 144A 335,000.000 258,997.25 GFL ENVIRONMENTAL INC 144A 9.875% 02/01/2016 DD 02/01/16 825,000.000 858,000.00 GIBSON ENERGY INC 144A 6.750% 07/15/2021 DD 06/28/13 605,000.000 556,600.00 GILEAD SCIENCES INC 3.050% 12/01/2016 DD 12/13/11 1,210,000.000 1,226,447.54 GLOBAL PARTNERS LP / GLP FINAN 6.250% 07/15/2022 DD 01/15/15 500,000.000 372,500.00 GLOBAL PAYMENTS 3/16 TLB 740,000.000 743,085.80 GLP CAPITAL LP / GLP FINANCING 4.875% 11/01/2020 DD 05/01/14 248,000.000 257,920.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 113 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

GLP CAPITAL LP / GLP FINANCING 5.375% 11/01/2023 DD 05/01/14 134,000.000 134,000.00 GMACM HOME EQUIT HE4 A2VN 144A VAR RT 03/25/2035 DD 10/28/04 295,258.622 259,984.34 GNMA POOL #0202982 10.500% 07/15/2017 DD 08/01/87 1,428.680 1,435.94 GNMA POOL #0233738 10.500% 11/15/2017 DD 11/01/87 1,491.820 1,499.57 GNMA POOL #0236244 10.500% 10/15/2017 DD 11/01/87 6,731.290 6,765.79 GNMA POOL #0271105 8.000% 10/15/2023 DD 10/01/93 11,167.110 12,261.57 GNMA POOL #0290358 10.500% 08/15/2020 DD 08/01/90 4,237.840 4,283.09 GNMA POOL #0316089 8.000% 02/15/2022 DD 02/01/92 553.050 555.18 GNMA POOL #0345538 8.000% 02/15/2024 DD 02/01/94 2,789.420 3,128.44 GNMA POOL #0354857 8.000% 07/15/2024 DD 07/01/94 627.500 700.13 GNMA POOL #0366893 8.000% 10/15/2024 DD 10/01/94 2,384.510 2,393.78 GNMA POOL #0367997 8.000% 11/15/2023 DD 11/01/93 408.960 410.53 GNMA POOL #0369549 8.000% 10/15/2024 DD 10/01/94 644.080 718.89 GNMA POOL #0380219 9.000% 09/15/2025 DD 09/01/95 5,133.650 5,157.20 GNMA POOL #0386052 8.000% 10/15/2024 DD 10/01/94 3,172.990 3,308.50 GNMA POOL #0390614 8.000% 03/15/2024 DD 03/01/94 13,252.510 13,767.81 GNMA POOL #0447214 8.500% 06/15/2027 DD 06/01/97 1,531.610 1,558.84 GNMA POOL #0478973 8.000% 12/15/2029 DD 12/01/99 274.610 278.54 GNMA POOL #0482086 8.000% 06/15/2030 DD 09/01/00 508.460 525.09 GNMA POOL #0506625 7.000% 03/15/2029 DD 03/01/99 9,000.180 10,059.67 GNMA POOL #0522671 8.000% 03/15/2030 DD 03/01/00 1,939.560 2,060.86 GNMA POOL #0540962 8.000% 10/15/2030 DD 10/01/00 1,332.510 1,359.37 GNMA POOL #0541446 8.000% 01/15/2031 DD 01/01/01 9,731.790 10,252.47 GNMA POOL #0543415 7.000% 11/15/2030 DD 11/01/00 11,005.680 11,814.31 GNMA POOL #0548686 7.000% 02/15/2032 DD 02/01/02 3,998.270 4,025.12 GNMA POOL #0552326 7.000% 01/15/2032 DD 01/01/02 23,545.620 27,444.23 GNMA POOL #0555979 7.000% 07/15/2031 DD 07/01/01 12,956.230 13,565.59 GNMA POOL #0560739 7.000% 06/15/2031 DD 06/01/01 1,144.670 1,176.96 GNMA POOL #0564118 7.000% 07/15/2031 DD 07/01/01 25,152.200 29,099.56 GNMA POOL #0564709 8.000% 07/15/2031 DD 07/01/01 1,366.040 1,596.15 GNMA POOL #0564933 7.000% 10/15/2031 DD 10/01/01 7,692.060 8,666.19 GNMA POOL #0569160 7.000% 03/15/2032 DD 03/01/02 14,740.160 17,854.98 GNMA POOL #0569213 7.000% 03/15/2032 DD 03/01/02 42,052.240 49,165.19 GNMA POOL #0569357 7.000% 04/15/2032 DD 04/01/02 25,968.940 32,295.61 GNMA POOL #0569906 8.000% 06/15/2032 DD 06/01/02 2,830.790 2,841.84 GNMA POOL #0570522 7.000% 01/15/2032 DD 01/01/02 3,962.000 4,529.16 GNMA POOL #0572392 7.000% 11/15/2031 DD 11/01/01 4,492.140 4,662.94 GNMA POOL #0574456 7.000% 02/15/2032 DD 02/01/02 2,998.010 3,339.03 GNMA POOL #0579718 7.000% 08/15/2032 DD 08/01/02 5,239.670 5,608.63

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 114 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

GNMA POOL #0582364 7.000% 10/15/2032 DD 10/01/02 19,798.030 23,077.50 GNMA POOL #0594858 7.000% 08/15/2032 DD 08/01/02 25,302.700 28,135.45 GNMA POOL #0604086 5.500% 03/15/2033 DD 03/01/03 335,420.040 384,335.79 GNMA POOL #0618549 8.000% 12/15/2033 DD 12/01/03 8,959.190 9,452.68 GNMA POOL #0714109 4.500% 08/15/2039 DD 08/01/09 530,172.160 578,431.54 GNMA POOL #0726139 4.500% 01/15/2040 DD 01/01/10 202,100.050 220,508.74 GNMA POOL #0726323 5.000% 09/15/2039 DD 09/01/09 346,477.630 384,922.28 GNMA POOL #0780115 8.500% 04/15/2025 DD 04/01/95 9,410.760 11,303.22 GNMA POOL #0780397 8.000% 12/15/2022 DD 07/01/96 7,625.100 8,733.72 GNMA POOL #0781213 8.000% 12/15/2017 DD 11/01/00 13,824.320 14,168.29 GNMA POOL #0781252 8.000% 12/15/2030 DD 03/01/01 8,123.090 10,282.05 GNMA POOL #0781334 8.000% 08/15/2031 DD 10/01/01 32,247.410 40,597.90 GNMA POOL #0781430 8.000% 09/15/2031 DD 04/01/02 13,874.200 17,622.01 GNMA POOL #0782448 6.000% 10/15/2038 DD 10/01/08 346,420.120 390,931.15 GNMA POOL #0783292 6.000% 12/15/2040 DD 04/01/11 96,655.930 109,075.11 GNMA GTD REMIC P/T 11-121 FA VAR RT 03/16/2043 DD 09/16/11 1,468,953.400 1,456,547.79 GNMA II POOL #0003263 7.500% 07/20/2032 DD 07/01/02 192.800 223.71 GNMA II POOL #0003276 7.500% 08/20/2032 DD 08/01/02 339.490 383.60 GNMA II POOL #0003288 7.500% 09/20/2032 DD 09/01/02 227.100 251.25 GNMA II POOL #0004696 4.500% 05/20/2040 DD 05/01/10 923,296.100 1,004,926.90 GNMA II POOL #0004833 4.000% 10/20/2040 DD 10/01/10 388,391.710 418,566.58 GNMA II POOL #0004853 4.000% 11/20/2040 DD 11/01/10 668,540.270 720,479.98 GNMA II POOL #0004984 5.500% 03/20/2041 DD 03/01/11 86,457.030 96,190.42 GNMA II POOL #0005115 4.500% 07/20/2041 DD 07/01/11 173,787.700 189,154.70 GNMA II POOL #0005234 4.500% 11/20/2041 DD 11/01/11 220,605.920 240,113.09 GNMA II POOL #0MA0391 3.000% 09/20/2042 DD 09/01/12 703,875.890 730,600.37 GNMA II POOL #0MA0624 3.000% 12/20/2042 DD 12/01/12 1,563,163.700 1,622,506.59 GNMA II POOL #0MA0625 3.500% 12/20/2042 DD 12/01/12 4,326,919.480 4,585,481.05 GNMA II POOL #0MA0782 3.000% 02/20/2043 DD 02/01/13 734,151.570 762,016.14 GNMA II POOL #0MA0933 3.000% 04/20/2043 DD 04/01/13 592,719.880 614,794.24 GNMA II POOL #0MA1089 3.000% 06/20/2043 DD 06/01/13 682,077.510 707,972.77 GNMA II POOL #0MA1156 3.000% 07/20/2043 DD 07/01/13 734,751.000 762,646.53 GNMA II POOL #0MA1679 4.500% 02/20/2044 DD 02/01/14 674,187.830 724,323.11 GNMA II POOL #0MA2678 3.500% 03/20/2045 DD 03/01/15 271,948.530 287,774.26 GNMA II POOL #0MA2754 3.500% 04/20/2045 DD 04/01/15 1,803,688.930 1,908,652.55 GNMA II POOL #0MA2755 4.000% 04/20/2045 DD 04/01/15 1,735,117.920 1,855,532.56 GNMA II POOL #0MA2826 3.500% 05/20/2045 DD 05/01/15 513,750.300 543,647.41 GNMA II POOL #0MA2961 3.500% 07/20/2045 DD 07/01/15 1,850,695.720 1,958,394.85 GNMA II POOL #0MA3173 3.500% 10/20/2045 DD 10/01/15 232,888.790 246,441.49

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 115 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

GOLDCORP INC 3.625% 06/09/2021 DD 06/09/14 140,000.000 141,153.04 GOLDMAN SACHS GROUP INC/THE 2.875% 02/25/2021 DD 02/25/16 1,880,000.000 1,913,054.16 GOLDMAN SACHS GROUP INC/THE 2.900% 07/19/2018 DD 07/19/13 775,000.000 793,097.03 GOODYEAR TIRE & RUBBER CO/THE 8.750% 08/15/2020 DD 03/05/10 105,000.000 123,112.50 GOVERNMENT OF CANADA 1.250% 01-MAR-2018 SER A875 5,315,000.000 4,164,351.51 GOVERNMENT OF CANADA 1.500% 01-FEB-2017 SER B600 14,590,000.000 11,369,134.41 GRAMERCY REAL ESTAT 1A A1 144A VAR RT 08/15/2056 DD 08/08/07 5,595,287.349 5,091,711.49 GRAND PACIFIC BUSINE 1A A 144A VAR RT 10/20/2033 DD 07/13/05 1,071.750 857.40 GRAND PACIFIC BUSINE 1A B 144A VAR RT 10/20/2033 DD 07/13/05 194,587.000 119,962.88 GRATON RESORT 8/15 TLB 244,616.760 245,228.30 GRAY TELEVISION 6/14 TL 743,995.000 741,205.02 GRAY TELEVISION INC 7.500% 10/01/2020 DD 10/09/12 100,000.000 105,500.00 GREATBATCH 10/15 TLB 0.000% 10/27/2022 DD 09/04/15 480,000.000 479,251.20 GREEN TREE RECREATIONAL E C B2 8.310% 03/15/2019 DD 09/28/98 19,774.020 12,259.89 GRIFOLS WORLDWIDE OPERATIONS L 5.250% 04/01/2022 DD 04/01/15 3,322,000.000 3,413,355.00 GROUP 1 AUTOMOTIVE INC 144A 5.250% 12/15/2023 DD 12/08/15 441,000.000 435,487.50 GS MORTGAGE SECUR RR3 A1P 144A VAR RT 07/18/2056 DD 12/01/06 63,760.675 24,866.66 GS MORTGAGE SECUR RR3 A1S 144A VAR RT 07/18/2056 DD 12/01/06 1,762,191.267 687,254.60 GS MORTGAGE SECURI ICE2 A 144A VAR RT 02/15/2033 DD 03/22/16 2,690,000.000 2,689,995.69 GS MORTGAGE SECURI RR2 A1 144A VAR RT 06/23/2046 DD 07/01/06 5,796,054.712 3,178,168.07 GS MORTGAGE SECURITIES C GG4 D VAR RT 07/10/2039 DD 06/01/05 393,961.300 379,187.75 GSAA HOME EQUITY TRUST MTR1 A4 VAR RT 10/25/2035 DD 10/28/05 2,940,453.080 2,726,801.23 GSR MORTGAGE LOAN TRUS AR6 4A5 VAR RT 09/25/2035 DD 09/01/05 1,071,585.010 1,065,515.45 GSR MORTGAGE LOAN TRUST 5 2A1 VAR RT 05/25/2034 DD 04/01/04 464,929.460 460,583.16 GTE CORP 8.750% 11/01/2021 DD 11/01/91 435,000.000 557,787.02 HALCYON LOAN INVESTO 1A D 144A VAR RT 11/20/2020 DD 10/25/06 1,999,999.980 1,816,727.98 HALLIBURTON CO 3.800% 11/15/2025 DD 11/13/15 360,000.000 360,556.20 HARBORVIEW MORTGAGE LOA 9 2A1A VAR RT 06/20/2035 DD 08/26/05 628,038.940 583,231.25 HARBORVIEW MORTGAGE LOA 9 2A1C VAR RT 06/20/2035 DD 08/26/05 125,152.640 113,589.33 HARBORVIEW MORTGAGE LOAN 7 4A VAR RT 11/19/2034 DD 09/01/04 560,111.470 548,866.84 HARTFORD FINANCIAL SERVICES GR 6.100% 10/01/2041 DD 10/10/06 285,000.000 330,600.86 HARVEY GULF 6/13 COV-LITE TLB 656,281.470 349,469.88 HASHEMITE KINGDOM OF JORDAN GO 2.503% 10/30/2020 DD 10/31/13 1,120,000.000 1,178,957.93 HASHEMITE KINGDOM OF JORDAN GO 3.000% 06/30/2025 DD 06/30/15 980,000.000 1,042,980.68 HCA 2/16 B6 TLB 155,000.000 155,485.15 HCA HOLDINGS INC 6.250% 02/15/2021 DD 12/06/12 1,080,000.000 1,161,000.00 HCA INC 4.750% 05/01/2023 DD 10/23/12 1,652,000.000 1,680,910.00 HCA INC 5.000% 03/15/2024 DD 03/17/14 2,270,000.000 2,322,493.75 HCA INC 5.250% 04/15/2025 DD 10/17/14 1,575,000.000 1,622,250.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 116 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

HCA INC 5.375% 02/01/2025 DD 01/16/15 3,971,000.000 4,014,442.74 HCA INC 7.500% 02/15/2022 DD 08/01/11 3,085,000.000 3,493,762.50 HD SUPPLY 8/15 COV-LITE TLB 508,125.000 504,822.19 HD SUPPLY INC 11.500% 07/15/2020 DD 10/15/12 1,285,000.000 1,425,546.88 HD SUPPLY INC 144A 5.250% 12/15/2021 DD 12/04/14 317,000.000 332,850.00 HD SUPPLY INC 144A 5.750% 04/15/2024 DD 04/11/16 606,000.000 622,665.00 HD SUPPLY INC 7.500% 07/15/2020 DD 10/15/13 847,000.000 898,878.75 HEADWATERS 3/15 COV-LITE TL 694,750.000 696,486.88 HEALTHSOUTH CORP 5.750% 09/15/2025 DD 09/16/15 100,000.000 101,050.00 HEALTHSOUTH CORP 5.750% 11/01/2024 DD 09/11/12 829,000.000 839,777.00 HEINZ 3/13 (USD) COV-LITE TLB2 0.000% 06/05/2020 DD 03/13/13 0.010 0.01 HERTZ 4/13 COV-LITE TL 422,826.080 420,335.63 HERTZ CORP/THE 6.250% 10/15/2022 DD 10/16/12 140,000.000 140,000.00 HERTZ CORP/THE 7.375% 01/15/2021 DD 07/15/11 370,000.000 377,400.00 HILL-ROM HOLDINGS 7/15 TLB 513,812.500 514,393.11 HILTON HOTELS 9/13 COV-LITE TL 227,818.620 227,748.00 HILTON USA TRUST HLF EFL 144A VAR RT 11/05/2030 DD 12/12/13 149,607.870 148,865.28 HILTON USA TRUST HLT DFX 144A 4.407% 11/05/2030 DD 12/01/13 1,590,000.000 1,592,018.51 HILTON WORLDWIDE FINANCE LLC / 5.625% 10/15/2021 DD 10/15/14 1,422,000.000 1,473,476.40 HOFFMASTER 5/14 COV-LITE TL 837,250.000 823,293.04 HOLOGIC INC 144A 5.250% 07/15/2022 DD 07/02/15 578,000.000 602,565.00 HOME DEPOT INC/THE 2.700% 04/01/2023 DD 04/05/13 1,620,000.000 1,682,504.46 HOME EQUITY ASSET TRUST 1 M1 VAR RT 06/25/2033 DD 01/29/03 67,573.120 64,725.30 HOME EQUITY LOAN TRUST HSA4 A VAR RT 07/25/2036 DD 07/28/06 243,284.850 208,644.08 HONDA AUTO RECEIVABLES 20 2 A3 1.040% 02/21/2019 DD 05/20/15 885,000.000 883,784.63 HONDA AUTO RECEIVABLES 20 3 A3 1.270% 04/18/2019 DD 08/19/15 875,000.000 877,324.44 HOSPITALITY PROPERTIES TRUST 4.500% 03/15/2025 DD 09/12/14 430,000.000 413,503.91 HOST HOTELS & RESORTS LP 5.250% 03/15/2022 DD 09/15/12 1,420,000.000 1,534,298.64 HOUSTON TX 6.290% 03/01/2032 DD 01/08/09 1,930,000.000 2,400,842.80 HSBC USA INC 7.200% 07/15/2097 DD 07/22/97 110,000.000 143,220.12 HUB INTERNATIONAL 10/13 (USD) TL 558,179.410 542,829.48 HUB INTERNATIONAL LTD 144A 7.875% 10/01/2021 DD 10/02/13 1,547,000.000 1,523,795.00 HUB INTERNATIONAL LTD 144A 9.250% 02/15/2021 DD 02/03/16 635,000.000 658,812.50 HUBBARD RADIO 5/15 TLB 501,971.840 478,128.18 HUDSONS BAY SIMO HB10 A10 144A 4.155% 08/05/2034 DD 11/01/15 2,335,000.000 2,465,606.59 HUNT COS INC 144A 9.625% 03/01/2021 DD 02/25/14 710,000.000 651,425.00 HUNTINGTON BANCSHARES INC/OH 3.150% 03/14/2021 DD 03/14/16 210,000.000 213,368.82 HUNTINGTON INGALLS INDUST 144A 5.000% 12/15/2021 DD 12/02/14 4,066,000.000 4,269,300.00 HUNTINGTON NATIONAL BANK/THE 1.700% 02/26/2018 DD 02/26/15 1,030,000.000 1,022,055.62

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 117 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

HUNTINGTON NATIONAL BANK/THE 2.200% 11/06/2018 DD 11/06/15 240,000.000 240,392.64 HUNTSMAN INTERNATIONAL LL 144A 5.125% 11/15/2022 DD 11/13/14 717,000.000 695,490.00 HUSKY INTERNATIONAL (COV-LITE 0.000% 06/30/2021 DD 06/08/11 979,904.710 953,770.65 IASIS HEALTHCARE LLC / IASIS C 8.375% 05/15/2019 DD 11/15/11 680,000.000 670,650.00 ICAHN ENTERPRISES LP / ICAHN E 5.875% 02/01/2022 DD 01/29/14 76,000.000 72,124.00 ICAHN ENTERPRISES LP / ICAHN E 6.000% 08/01/2020 DD 08/01/13 1,220,000.000 1,186,450.00 ICONS LTD 1A D 144A VAR RT 09/10/2034 DD 05/26/04 427,320.332 318,353.65 IHS INC 5.000% 11/01/2022 DD 05/01/15 880,000.000 911,900.00 ILLINOIS ST SALES TAX REVENUE 4.620% 06/15/2038 DD 03/25/14 125,000.000 135,073.75 IMG WORLDWIDE 3/14 COV-LITE 0.000% 05/06/2022 DD 03/21/14 400,000.000 380,000.00 IMG WORLDWIDE 5/14 COV-LITE TL 1,326,375.000 1,323,894.68 INCAPS FUNDING II LTD/INC 144A VAR RT 01/15/2034 DD 12/16/03 4,421,437.110 3,868,757.47 INEOS 3/15 (USD) COV-LITE TL 296,998.470 292,359.35 INEOS GROUP HOLDINGS SA 144A 5.875% 02/15/2019 DD 02/18/14 543,000.000 547,072.50 INEOS GROUP HOLDINGS SA 144A 6.125% 08/15/2018 DD 05/14/13 235,000.000 238,964.45 INFOR (LAWSON) 1/14 B5 TLB 1,333,799.570 1,291,491.45 INFOR US INC 144A 5.750% 08/15/2020 DD 08/25/15 104,000.000 107,120.00 INFORMATICA 6/15 (USD) COV-LITE TL 323,375.000 316,907.50 INFORMATION RESOURCES(IRI) 9/13 COV-LITE TLB 473,785.170 473,785.17 INMARSAT FINANCE PLC 144A 4.875% 05/15/2022 DD 06/04/14 1,455,000.000 1,370,428.13 INTEL CORP 1.350% 12/15/2017 DD 12/11/12 610,000.000 614,955.64 INTEL CORP 3.700% 07/29/2025 DD 07/29/15 1,620,000.000 1,774,429.75 INTELSAT JACKSON HOLDINGS 144A 8.000% 02/15/2024 DD 03/29/16 281,000.000 289,430.00 INTELSAT JACKSON HOLDINGS SA 5.500% 08/01/2023 DD 06/05/13 135,000.000 81,337.50 INTELSAT JACKSON HOLDINGS SA 7.250% 10/15/2020 DD 09/30/10 690,000.000 445,050.00 INTER-AMERICAN DEVELOPMENT BAN 6.500% 08/20/2019 1,620,000.000 1,406,463.08 INTERGEN NV 144A 7.000% 06/30/2023 DD 06/13/13 560,000.000 382,200.00 INTERNATIONAL BANK FOR RECONST 2.375% 03/02/2017 8,300,000.000 1,016,922.47 INTERNATIONAL BANK FOR RECONST 3.500% 01/22/2021 2,000,000.000 1,418,404.91 INTERNATIONAL BANK FOR RECONST 3.625% 06/22/2020 7,450,000.000 999,788.42 INTERNATIONAL BANK FOR RECONST 3.750% 01/23/2019 560,000.000 446,149.80 INTERNATIONAL BANK FOR RECONST 4.500% 08/16/2016 670,000.000 468,796.85 INTERNATIONAL BANK FOR RECONST 4.625% 02/26/2019 1,778,000.000 1,301,378.36 INTERNATIONAL BANK FOR RECONST 4.625% 10/06/2021 2,935,000.000 2,194,526.00 INTERNATIONAL BUSINESS MACHINE 1.950% 02/12/2019 DD 02/12/14 789,000.000 803,447.38 INTERNATIONAL BUSINESS MACHINE 2.750% 12/21/2020 920,000.000 1,391,548.52 INTERNATIONAL FINANCE CORP 3.250% 07/22/2019 3,185,000.000 2,508,806.37 INTERNATIONAL FINANCE CORP 3.625% 05/20/2020 2,530,000.000 1,807,161.45 INTERNATIONAL FINANCE CORP 3.875% 02/26/2018 310,000.000 220,514.82

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 118 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

INTERNATIONAL GAME TECHNO 144A 6.250% 02/15/2022 DD 02/13/15 425,000.000 432,352.50 INTERNATIONAL GAME TECHNO 144A 6.500% 02/15/2025 DD 02/13/15 374,000.000 370,260.00 INTERNATIONAL LEASE FINANCE CO 4.625% 04/15/2021 DD 03/11/13 461,000.000 472,525.00 INTERNATIONAL LEASE FINANCE CO 5.875% 04/01/2019 DD 03/19/12 382,000.000 403,487.50 INTERNATIONAL LEASE FINANCE CO 8.250% 12/15/2020 DD 12/07/10 95,000.000 110,912.50 INTERVAL ACQUISITION CORP 144A 5.625% 04/15/2023 DD 04/10/15 1,395,000.000 1,398,487.50 ION MEDIA 12/14 TLB 1,176,112.500 1,167,291.66 IPREO 7/14 COV-LITE TLB 372,187.500 353,112.89 ISLE OF CAPRI CASINOS INC 5.875% 03/15/2021 DD 03/05/13 150,000.000 154,500.00 ISLE OF CAPRI CASINOS INC 8.875% 06/15/2020 DD 08/07/12 50,000.000 52,375.00 ISRAEL ST AID 5.500% 09/18/2033 DD 09/18/03 225,000.000 304,213.28 ISTAR FINANCIAL 10/12 TL 0.010 0.01 ISTAR INC 5.000% 07/01/2019 DD 06/13/14 427,000.000 409,920.00 J. CREW 2/14 COV-LITE TLB 0.000% 03/05/2021 DD 02/21/14 190,067.360 147,509.38 JAGUAR HOLDING CO II / PH 144A 6.375% 08/01/2023 DD 08/18/15 1,238,000.000 1,271,178.40 JARDEN 7/15 TLB2 696,500.000 695,051.28 JARDEN CORP 144A 5.000% 11/15/2023 DD 10/30/15 163,000.000 170,742.50 JERSEY CENTRAL POWER & LIGHT C 7.350% 02/01/2019 DD 01/27/09 75,000.000 84,072.90 JO-ANN STORES (COV-LITE 3/11) TL 183,912.140 178,394.78 JP MORGAN CHASE COM INN F 144A VAR RT 06/15/2029 DD 06/27/14 150,000.000 139,078.74 JP MORGAN CHASE COM SGP A 144A VAR RT 07/15/2036 DD 09/30/15 1,420,000.000 1,408,869.76 JP MORGAN CHASE COM UES A 144A 2.933% 09/05/2032 DD 10/01/15 1,325,000.000 1,371,376.06 JP MORGAN CHASE COMME CB20 ASB 5.688% 02/12/2051 DD 09/01/07 329,706.630 334,989.26 JP MORGAN CHASE COMMER CB13 AJ VAR RT 01/12/2043 DD 11/01/05 2,445,883.680 2,394,369.70 JP MORGAN CHASE COMMER CB18 A4 5.440% 06/12/2047 DD 03/01/07 749,096.680 762,230.37 JP MORGAN CHASE COMMER LD11 AJ VAR RT 06/15/2049 DD 07/01/07 350,000.000 222,355.00 JP MORGAN CHASE COMMER LDP7 AM VAR RT 04/17/2045 DD 06/01/06 320,000.000 320,439.59 JP MORGAN CHASE COMMER LDP8 AM 5.440% 05/15/2045 DD 09/01/06 105,000.000 105,887.92 JP MORGAN MORTGAGE TRUS A1 1A1 VAR RT 07/25/2035 DD 01/01/07 994,127.070 983,484.64 JPMORGAN CHASE & CO 3.300% 04/01/2026 DD 03/23/16 850,000.000 856,902.85 JPMORGAN RV MARINE 1A A2 144A 4.060% 04/15/2022 DD 12/22/04 252,155.210 141,206.92 JPMORGAN-CIBC COM RR1A A1 144A VAR RT 10/18/2052 DD 05/01/06 3,503,035.188 1,453,759.60 KANSAS ST DEV FIN AUTH REVENUE 3.491% 04/15/2023 DD 08/20/15 1,250,000.000 1,302,412.50 KANSAS ST DEV FIN AUTH REVENUE 3.641% 04/15/2024 DD 08/20/15 1,440,000.000 1,510,660.80 KAR AUCTION 3/16 TLB3 510,000.000 511,060.80 KENNEDY-WILSON INC 5.875% 04/01/2024 DD 03/25/14 1,240,000.000 1,212,100.00 KEYBANK NA/CLEVELAND OH 2.350% 03/08/2019 DD 03/08/16 1,180,000.000 1,190,693.16 KFW 3.750% 05/29/2020 1,045,000.000 749,127.29 KFW 6.000% 03/28/2017 450,000.000 358,492.11

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 119 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

KFW 6.000% 08/20/2020 3,300,000.000 2,884,632.57 KIK CUSTOM PRODUCTS 8/15 COV-LITE TL 722,687.500 695,283.19 KINDER MORGAN ENERGY PARTNERS 3.450% 02/15/2023 DD 08/13/12 145,000.000 134,530.13 KINDRED HEALTHCARE INC 6.375% 04/15/2022 DD 10/15/14 960,000.000 865,200.00 KINETIC CONCEPTS INC / KC 144A 7.875% 02/15/2021 DD 02/09/16 329,000.000 347,917.50 KINETIC CONCEPTS INC / KCI USA VAR RT 11/01/2018 DD 11/01/12 328,000.000 328,820.00 KODIAK CDO I LTD 1A A2 144A VAR RT 08/07/2037 DD 09/19/06 1,721,000.000 1,153,070.00 KODIAK CDO I LTD 1A B 144A VAR RT 08/07/2037 DD 09/19/06 1,619,000.000 534,270.00 KOMMUNINVEST I SVERIGE AB 2.500% 12/01/2020 12,180,000.000 1,628,367.15 KOREA GAS CORP 144A 2.875% 07/29/2018 DD 07/29/13 530,000.000 543,719.05 KOREA TREASURY BOND COUPON STR 0.000% 03/10/2017 28,750,000.000 24,793.62 KOREA TREASURY BOND COUPON STR 0.000% 03/10/2018 28,750,000.000 24,435.43 KOREA TREASURY BOND COUPON STR 0.000% 09/10/2016 28,750,000.000 24,975.63 KOREA TREASURY BOND COUPON STR 0.000% 09/10/2017 28,750,000.000 24,615.80 KOREA TREASURY BOND COUPON STR 0.000% 09/10/2018 28,750,000.000 24,254.77 KRAFT HEINZ FOODS CO 144A 3.950% 07/15/2025 DD 07/02/15 3,085,000.000 3,282,560.32 KRAFT HEINZ FOODS CO 144A 4.875% 02/15/2025 DD 01/30/15 1,128,000.000 1,242,671.36 KRAFT HEINZ FOODS CO 6.125% 08/23/2018 DD 08/23/12 2,065,000.000 2,276,045.07 KRONOS 2/13 TL 730,011.420 726,821.27 L BRANDS INC 5.625% 10/15/2023 DD 10/16/13 2,370,000.000 2,601,075.00 L BRANDS INC 6.625% 04/01/2021 DD 03/25/11 479,000.000 538,827.10 L BRANDS INC 6.950% 03/01/2033 DD 02/19/03 1,575,000.000 1,622,250.00 LABORATORY CORP OF AMERICA HOL 3.200% 02/01/2022 DD 01/30/15 140,000.000 141,925.43 LAMAR MEDIA CORP 144A 5.750% 02/01/2026 DD 01/28/16 959,000.000 1,006,950.00 LAMAR MEDIA CORP 5.000% 05/01/2023 DD 10/30/12 1,370,000.000 1,425,649.40 LAMAR MEDIA CORP 5.375% 01/15/2024 DD 07/15/14 449,000.000 468,217.20 LANDMARK IX CDO LTD 9A E 144A VAR RT 04/15/2021 DD 04/10/07 3,596,000.000 2,988,042.27 LANDWIRTSCHAFTLICHE RENTENBANK 6.500% 04/12/2017 2,425,000.000 1,943,036.92 LAREDO PETROLEUM INC 5.625% 01/15/2022 DD 01/23/14 778,000.000 649,630.00 LAREDO PETROLEUM INC 6.250% 03/15/2023 DD 03/18/15 1,204,000.000 1,008,350.00 LAREDO PETROLEUM INC 7.375% 05/01/2022 DD 04/27/12 439,000.000 373,150.00 LB-UBS COMMERCIAL MORTGA C6 AM 5.413% 09/15/2039 DD 09/11/06 2,145,000.000 2,170,284.83 LBC TANK TERMINALS HOLDIN 144A 6.875% 05/15/2023 DD 05/14/13 555,000.000 516,150.00 LEAF RECEIVABLES FUN 1 E2 144A 6.000% 09/15/2021 DD 09/26/13 861,000.000 857,010.16 LEARNING CARE 5/14 COV-LITE TL 485,440.360 483,469.48 LEGG MASON INC 4.750% 03/15/2026 DD 03/22/16 420,000.000 425,852.28 LEGG MASON INC 5.625% 01/15/2044 DD 01/22/14 195,000.000 191,437.74 LENDMARK FUNDING TRUS A B 144A 7.830% 08/21/2023 DD 03/08/16 855,000.000 838,413.00 LENNAR CORP 4.500% 11/15/2019 DD 11/25/14 700,000.000 728,000.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 120 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

LEVEL 3 5/15 TLB2 1,175,000.000 1,171,815.75 LEVEL 3 FINANCING INC 144A 5.250% 03/15/2026 DD 03/22/16 531,000.000 534,982.50 LEVEL 3 FINANCING INC 144A 5.375% 01/15/2024 DD 11/13/15 800,000.000 810,000.00 LEVEL 3 FINANCING INC 5.375% 08/15/2022 DD 11/15/14 360,000.000 365,583.60 LEVEL 3 FINANCING INC 6.125% 01/15/2021 DD 10/15/14 315,000.000 329,962.50 LEVEL 3 FINANCING INC 7.000% 06/01/2020 DD 12/01/12 146,000.000 152,307.20 LIBERTY CABLEVISION 6/14 TL 725,000.000 690,562.50 LIFE TIME FITNESS 6/15 COV-LITE TLB 373,125.000 368,087.81 LIFEPOINT HEALTH INC 5.500% 12/01/2021 DD 06/01/14 1,039,000.000 1,085,755.00 LIFEPOINT HEALTH INC 5.875% 12/01/2023 DD 12/04/15 845,000.000 883,025.00 LIGHTOWER 4/13 TL 728,334.970 719,230.78 LIN TELEVISION CORP 5.875% 11/15/2022 DD 11/15/15 795,000.000 804,937.50 LINEAGE LOGISTICS 3/14 0.000% 04/07/2021 DD 03/18/14 614,589.020 514,718.30 LLOYDS BANKING GROUP PLC 144A 4.582% 12/10/2025 DD 12/10/15 650,000.000 637,258.05 LOCKHEED MARTIN CORP 2.900% 03/01/2025 DD 02/20/15 3,650,000.000 3,707,348.80 LOCKHEED MARTIN CORP 3.100% 01/15/2023 DD 11/23/15 990,000.000 1,026,813.15 LONG BEACH MORTGAGE LOAN 1 M3 VAR RT 05/25/2032 DD 04/02/02 129,330.270 137,811.22 LONG BEACH MORTGAGE LOAN 2 M3 VAR RT 07/25/2032 DD 06/04/02 71,506.860 62,393.15 LONG BEACH MTG LN 04-1 C 0.000% 02/25/2034 DD 02/01/04 1,798,989.300 1,807,714.40 LOS ANGELES CA UNIF SCH DIST 5.750% 07/01/2034 DD 10/15/09 265,000.000 332,222.55 LTF MERGER SUB INC 144A 8.500% 06/15/2023 DD 06/10/15 636,000.000 616,920.00 MACDERMID 1/15 COV-LITE TLB2 393,134.430 379,130.98 MACDERMID 6/13 COV-LITE TL 144,755.760 139,553.24 MACY'S RETAIL HOLDINGS INC 7.875% 08/15/2036 DD 08/15/96 1,015,000.000 1,035,335.53 MALLINCKRODT 3/14 COV-LITE TL 1,382,367.750 1,329,948.36 MALLINCKRODT INTERNATIONA 144A 5.500% 04/15/2025 DD 04/15/15 158,000.000 139,435.00 MALLINCKRODT INTERNATIONA 144A 5.625% 10/15/2023 DD 09/24/15 954,000.000 865,755.00 MANITOWOC 1/16 COV-LITE TLB 661,000.000 663,201.13 MANITOWOC FOODSERVICE INC 144A 9.500% 02/15/2024 DD 02/18/16 169,000.000 184,210.00 MARATHON PETROLEUM CORP 4.750% 09/15/2044 DD 09/05/14 365,000.000 292,094.17 MARATHON REAL ESTATE 1A B 144A VAR RT 05/25/2046 DD 05/18/06 933,000.000 896,928.36 MARATHON REAL ESTATE 1A G 144A VAR RT 05/25/2046 DD 05/18/06 685,000.000 582,250.00 MARSH & MCLENNAN COS INC 3.300% 03/14/2023 DD 03/14/16 480,000.000 489,504.96 MARSH & MCLENNAN COS INC 3.500% 06/03/2024 DD 05/30/14 100,000.000 99,758.70 MARTIN MIDSTREAM PARTNERS LP / 7.250% 02/15/2021 DD 02/11/13 725,000.000 628,937.50 MARYLAND ST 4.400% 03/01/2023 DD 03/09/10 890,000.000 1,037,731.10 MASCO CORP 3.500% 04/01/2021 DD 03/17/16 597,000.000 601,477.50 MASSACHUSETTS INSTITUTE OF TEC 3.308% 07/01/2026 DD 09/29/14 1,490,000.000 1,591,984.54 MASSACHUSETTS INSTITUTE OF TEC 3.959% 07/01/2038 DD 09/29/14 1,940,000.000 2,124,078.84

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 121 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MATCH GROUP 11/15 TLB 545,100.000 544,762.04 MAUSER 6/14 (USD) COV-LITE TL 938,125.000 909,399.61 MCDONALD'S CORP 3.700% 01/30/2026 DD 12/09/15 465,000.000 492,501.03 MCDONALD'S CORP 4.875% 12/09/2045 DD 12/09/15 395,000.000 431,524.47 MCGRAW-HILL 4/15 TL 747,258.610 744,142.55 MDC PARTNERS INC 144A 6.500% 05/01/2024 DD 03/23/16 2,038,000.000 2,081,307.50 MEDCO HEALTH SOLUTIONS INC 4.125% 09/15/2020 DD 09/10/10 100,000.000 105,929.50 MEDNAX INC 144A 5.250% 12/01/2023 DD 12/08/15 1,230,000.000 1,279,200.00 MEDTRONIC INC 4.375% 03/15/2035 DD 03/15/15 10,000.000 10,826.27 MEMORIAL SLOAN-KETTERING CANCE 4.200% 07/01/2055 DD 02/11/15 110,000.000 112,863.08 MERCK & CO INC 2.750% 02/10/2025 DD 02/10/15 2,870,000.000 2,937,970.21 MERCK & CO INC VAR RT 05/18/2016 DD 05/20/13 720,000.000 720,232.56 MERCK & CO INC VAR RT 05/18/2018 DD 05/20/13 1,233,000.000 1,236,160.18 MERITAGE HOMES CORP 4.500% 03/01/2018 DD 03/13/13 491,000.000 495,910.00 MERITAGE HOMES CORP 6.000% 06/01/2025 DD 06/02/15 453,000.000 453,000.00 MERITAGE HOMES CORP 7.000% 04/01/2022 DD 04/10/12 300,000.000 319,500.00 MERITAGE HOMES CORP 7.150% 04/15/2020 DD 04/13/10 110,000.000 116,050.00 MERRILL LYNCH MORTGAGE FF1 A1 VAR RT 08/25/2036 DD 12/27/06 948,944.680 944,864.88 MERRILL LYNCH MORTGAGE I 1 2A1 VAR RT 12/25/2034 DD 11/01/04 59,509.460 59,310.99 MERRILL LYNCH MORTGAGE I 3 2A1 VAR RT 10/25/2036 DD 10/01/06 75,515.140 73,496.91 MERRILL LYNCH MORTGAGE I A2 A2 VAR RT 02/25/2035 DD 02/01/05 115,821.890 115,307.80 MERRILL LYNCH MORTGAGE IN 2 1A VAR RT 10/25/2035 DD 08/01/05 891,843.260 858,866.82 METHANOL HOLDINGS 6/15 TLB 372,187.500 327,525.00 METLIFE INC 4.600% 05/13/2046 DD 11/13/15 400,000.000 410,062.81 METLIFE INC 4.875% 11/13/2043 DD 11/13/13 90,000.000 95,900.94 METLIFE INC 6.400% 12/15/2066 DD 12/21/06 1,755,000.000 1,812,915.00 METLIFE INC VAR RT 12/15/2017 DD 09/15/14 810,000.000 813,454.65 MEXICAN BONOS 10.000% 12/05/2024 87,254,500.000 6,536,082.61 MEXICAN BONOS 4.750% 06/14/2018 12,663,000.000 743,036.64 MEXICAN BONOS 6.500% 06/10/2021 52,773,500.000 3,233,879.03 MEXICAN BONOS 7.750% 05/29/2031 24,851,000.000 1,635,014.62 MEXICAN BONOS 8.000% 12/07/2023 39,565,500.000 2,626,215.11 MEXICAN BONOS 8.500% 12/13/2018 25,063,500.000 1,599,483.54 MEXICO GOVERNMENT INTERNATIONA 4.600% 01/23/2046 DD 01/23/15 2,740,000.000 2,671,500.00 MGM RESORTS INTERNATIONAL 11.375% 03/01/2018 DD 09/22/09 1,375,000.000 1,588,675.00 MGM RESORTS INTERNATIONAL 6.000% 03/15/2023 DD 11/25/14 585,000.000 605,475.00 MGM RESORTS INTERNATIONAL 6.625% 12/15/2021 DD 12/20/12 806,000.000 864,435.00 MGM RESORTS INTERNATIONAL 6.750% 10/01/2020 DD 04/01/13 352,000.000 380,864.00 MICROCONNECTIONS 7/15 (USD) COV-LITE TL 299,500.000 294,633.13

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 122 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MICRON TECHNOLOGY INC 5.875% 02/15/2022 DD 02/10/14 2,585,000.000 2,236,025.00 MICROSEMI 12/15 TLB 849,573.490 852,895.32 MICROSEMI CORP 144A 9.125% 04/15/2023 DD 01/15/16 780,000.000 856,050.00 MICROSOFT CORP 3.125% 11/03/2025 DD 11/03/15 2,580,000.000 2,709,245.10 MICROSOFT CORP 4.450% 11/03/2045 DD 11/03/15 35,000.000 38,820.81 MICROSOFT CORP 4.750% 11/03/2055 DD 11/03/15 390,000.000 433,396.86 MID OCEAN CBO 2000 1A A2L 144A VAR RT 01/15/2036 DD 01/08/01 1,762,243.000 159,703.27 MID OCEAN CBO 2000- 1A A2 144A 7.725% 01/15/2036 DD 01/08/01 637,000.000 195,877.50 MIDOCEAN CREDIT CLO 2A E 144A VAR RT 01/29/2025 DD 01/29/14 292,000.000 206,590.00 MILACRON 4/15 COV-LITE TLB 132,054.790 130,404.11 MISSOURI ST HLTH & EDUCTNL FAC 3.471% 01/15/2036 DD 02/26/16 1,960,000.000 1,998,592.40 MISSOURI ST HLTH & EDUCTNL FAC 3.651% 01/15/2046 DD 02/26/16 285,000.000 290,095.80 MITEL NETWORKS 4/15 TL 382,128.840 381,532.72 MITSUBISHI UFJ FINANCIAL GROUP 2.950% 03/01/2021 DD 03/01/16 830,000.000 845,638.03 ML-CFC COMMERCIAL 5 AJFL 144A VAR RT 08/12/2048 DD 03/14/07 2,135,089.000 1,878,277.29 ML-CFC COMMERCIAL 7 AMFL 144A VAR RT 06/12/2050 DD 06/13/07 2,386,000.000 2,185,128.15 ML-CFC COMMERCIAL MOR 3 F 144A VAR RT 07/12/2046 DD 09/01/06 7,560.060 140.89 ML-CFC COMMERCIAL MORTGAG 3 A4 VAR RT 07/12/2046 DD 09/01/06 773,981.240 776,805.34 ML-CFC COMMERCIAL MORTGAG 8 AJ VAR RT 08/12/2049 DD 08/01/07 1,267,000.000 738,026.74 ML-CFC COMMERCIAL MORTGAGE 4 C VAR RT 12/12/2049 DD 12/01/06 666,000.000 582,470.28 MMCAPS FUNDING XIX LTD/MM 144A VAR RT 01/12/2038 DD 07/12/07 155,170.000 0.00 MOHEGAN TRIBAL 11/13 TLB 0.000% 11/19/2019 DD 10/21/13 838,818.570 809,988.38 MOLINA HEALTHCARE INC 144A 5.375% 11/15/2022 DD 11/10/15 938,000.000 963,795.00 MONEYGRAM PAYMENT 3/13 TL 0.000% 03/27/2020 DD 03/26/13 490,022.430 457,558.45 MONSANTO CO 5.500% 08/15/2025 DD 08/25/05 417,000.000 478,182.66 MORGAN STANLEY 3.700% 10/23/2024 DD 10/23/14 470,000.000 485,425.40 MORGAN STANLEY CAPITAL HQ10 C VAR RT 11/12/2041 705,000.000 675,729.53 MORGAN STANLEY CAPITAL I HQ7 E VAR RT 11/14/2042 DD 11/01/05 392,000.000 389,243.46 MORGAN STANLEY CAPITAL IQ13 A4 5.364% 03/15/2044 DD 03/01/07 757,396.950 774,350.83 MOTIVA ENTERPRISES LLC 144A 5.750% 01/15/2020 DD 01/11/10 990,000.000 1,032,389.82 MOTORSPORT AFTERMARKET 5/14 COV-LITE TL 640,250.000 336,131.25 MPH ACQUISITION HOLDINGS 144A 6.625% 04/01/2022 DD 03/31/14 941,000.000 978,640.00 MPLX LP 144A 4.500% 07/15/2023 DD 07/15/15 137,000.000 126,337.98 MPLX LP 144A 4.875% 12/01/2024 DD 12/01/15 3,422,000.000 3,159,317.02 MPLX LP 144A 5.500% 02/15/2023 DD 08/15/15 875,000.000 847,042.87 MRC 11/13 COV-LITE TL 403,481.700 385,325.02 MSCI INC 144A 5.250% 11/15/2024 DD 11/20/14 944,000.000 974,680.00 MSCI INC 144A 5.750% 08/15/2025 DD 08/13/15 422,000.000 444,155.00 MT SPOKANE 2007-A AA CERT 144A VAR RT 12/15/2034 DD 08/31/07 166,202.540 164,665.17

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 123 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

MT SPOKANE 2007-A LL AA E 144A VAR RT 12/15/2034 DD 08/31/07 725,067.550 714,916.60 MUFG UNION BANK NA 2.125% 06/16/2017 DD 06/18/12 220,000.000 221,116.94 MULTIPLAN 3/14 SENIOR TL 0.000% 03/31/2021 DD 03/21/14 1,333,535.440 1,319,533.32 N-STAR REAL ESTATE 5A A2 144A VAR RT 09/22/2045 DD 09/22/05 431,105.645 32,332.92 NATIONAL AUSTRALIA BANK L REGS 6.000% 02/15/2017 1,820,000.000 1,440,731.21 NATIONAL COLLEGIATE 1 B2 144A VAR RT 08/25/2037 DD 12/11/03 3,170,000.000 1,109,500.00 NATIONAL COLLEGIATE STUDE 1 B1 VAR RT 06/01/2039 DD 06/10/04 344,248.000 120,853.42 NATIONAL COLLEGIATE STUDE 1 B2 VAR RT 06/01/2039 DD 06/10/04 2,124,000.000 744,154.03 NATIONAL COLLEGIATE STUDENT LO VAR RT 08/25/2037 DD 12/11/03 1,709,000.000 598,150.00 NATIONAL FINANCIAL 7/14 TLB 933,202.490 910,339.03 NATIONAL FINANCIAL PARTNE 144A 9.000% 07/15/2021 DD 07/01/13 427,000.000 409,920.00 NATIONAL MENTOR 1/14 TLB 0.010 0.01 NATIONAL RURAL UTILITIES COOPE 1.650% 02/08/2019 DD 02/08/16 180,000.000 180,531.18 NATIONAL VISION 3/14 COV-LITE TL 380,444.420 368,795.21 NAVIENT CORP 5.000% 10/26/2020 DD 11/06/14 1,128,000.000 1,023,660.00 NAVIENT CORP 5.875% 10/25/2024 DD 11/06/14 575,000.000 487,312.50 NAVIENT CORP 6.125% 03/25/2024 DD 03/27/14 416,000.000 357,760.00 NAVIENT CORP 7.250% 01/25/2022 DD 01/27/12 401,000.000 374,935.00 NAVIOS SOUTH AMERICAN LOG 144A 7.250% 05/01/2022 DD 04/22/14 695,000.000 448,275.00 NAVISTAR INTERNATIONAL 8/12 458,850.000 417,553.50 NBTY 3/13 COV-LITE TLB2 552,697.390 550,049.97 NCR CORP 5.875% 12/15/2021 DD 06/15/14 167,000.000 170,757.50 NCR CORP 6.375% 12/15/2023 DD 06/15/14 119,000.000 122,570.00 NCT 2013-VI FUNDI 6A IMM2 144A VAR RT 04/25/2040 DD 11/01/13 270,000.000 259,200.00 NCUA GUARANTEED NOTES 2.350% 06/12/2017 DD 06/16/11 2,000,000.000 2,037,620.00 NCUA GUARANTEED NOTES 3.000% 06/12/2019 DD 06/16/11 335,000.000 354,996.15 NCUA GUARANTEED NOTES 3.450% 06/12/2021 DD 06/16/11 1,340,000.000 1,465,424.00 NCUA GUARANTEED NOTES T C1 APT 2.650% 10/29/2020 DD 11/10/10 1,369,595.130 1,370,873.92 NCUA GUARANTEED NOTES TR R2 1A VAR RT 11/06/2017 DD 11/17/10 1,685,473.820 1,683,737.27 NEIMAN MARCUS 3/14 COV-LITE TL 769,161.040 703,205.48 NEPTUNE FINCO CORP 144A 10.125% 01/15/2023 DD 10/09/15 337,000.000 360,590.00 NEPTUNE FINCO CORP 144A 10.875% 10/15/2025 DD 10/09/15 1,976,000.000 2,147,912.00 NEPTUNE FINCO CORP 144A 6.625% 10/15/2025 DD 10/09/15 1,676,000.000 1,812,007.40 NETFLIX INC 5.500% 02/15/2022 DD 02/05/15 670,000.000 701,449.80 NETFLIX INC 5.875% 02/15/2025 DD 02/05/15 2,387,000.000 2,512,317.50 NEW CINGULAR WIRELESS SERVICES 8.750% 03/01/2031 DD 09/01/01 370,000.000 542,606.85 NEW JERSEY ST TURNPIKE AUTH 7.102% 01/01/2041 DD 12/15/10 110,000.000 158,430.80 NEW SOUTH WALES TREASURY CORP 6.000% 03/01/2022 1,110,000.000 1,026,212.97 NEW SOUTH WALES TREASURY CORP 6.000% 05/01/2020 8,255,000.000 7,303,743.04

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 124 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

NEW YORK CITY NY TRANSITIONAL 5.508% 08/01/2037 DD 08/16/10 270,000.000 334,170.90 NEW YORK ST DORM AUTH ST PERSO 5.289% 03/15/2033 DD 10/14/10 85,000.000 100,951.10 NEW YORK ST DORM AUTH ST PERSO 5.628% 03/15/2039 DD 08/31/09 15,000.000 19,135.80 NEW YORK ST URBAN DEV CORP REV 5.838% 03/15/2040 DD 12/08/10 175,000.000 220,771.25 NEW ZEALAND GOVERNMENT BO REGS 3.000% 04/15/2020 4,715,000.000 3,376,000.57 NEW ZEALAND GOVERNMENT BO REGS 5.000% 03/15/2019 10,970,000.000 8,254,327.60 NEW ZEALAND GOVERNMENT BO REGS 6.000% 05/15/2021 10,610,000.000 8,676,172.92 NEW ZEALAND GOVERNMENT BO REGS 6.000% 12/15/2017 11,590,000.000 8,585,188.58 NEW ZEALAND LOCAL GOVERNMENT F 6.000% 12/15/2017 3,190,000.000 2,343,903.18 NEWELL RUBBERMAID INC 3.850% 04/01/2023 DD 03/30/16 1,080,000.000 1,120,079.88 NEWFIELD EXPLORATION CO 5.625% 07/01/2024 DD 06/26/12 870,000.000 815,625.00 NEWPAGE 1/16 (NM TL) DIP TL 188,955.210 170,059.69 NEWPAGE 2/14 TLB 828,750.010 121,204.69 NEXEO 10/12 ADD-ON TLB 473,469.650 471,400.59 NGG FINANCE PLC REGS VAR RT 06/18/2073 2,215,000.000 3,299,038.44 NGL ENERGY PARTNERS LP / NGL E 5.125% 07/15/2019 DD 01/15/15 743,000.000 449,515.00 NGL ENERGY PARTNERS LP / NGL E 6.875% 10/15/2021 DD 10/15/14 290,000.000 171,100.00 NIELSEN CO LUXEMBOURG SAR 144A 5.500% 10/01/2021 DD 09/27/13 365,000.000 379,600.00 NISOURCE FINANCE CORP 5.650% 02/01/2045 DD 10/10/13 2,050,000.000 2,438,944.45 NISSAN AUTO RECEIVABLES 2 A A3 1.050% 10/15/2019 DD 04/14/15 1,780,000.000 1,779,154.50 NORDIC INVESTMENT BANK 1.375% 07/15/2020 11,330,000.000 1,396,721.71 NORTEK INC 8.500% 04/15/2021 DD 10/15/11 1,314,000.000 1,363,275.00 NORTHERN STATES POWER CO/MN 2.150% 08/15/2022 DD 08/13/12 375,000.000 374,415.75 NORTHERN STATES POWER CO/MN 2.200% 08/15/2020 DD 08/11/15 550,000.000 560,051.26 NORTHERN TIER ENERGY LLC / NOR 7.125% 11/15/2020 DD 05/15/13 555,000.000 543,900.00 NORTHWESTERN UNIVERSITY 3.688% 12/01/2038 DD 05/06/15 255,000.000 267,982.56 NORWAY GOVERNMENT BOND 144A 3.750% 05/25/2021 15,110,000.000 2,108,138.43 NORWAY GOVERNMENT BOND 144A 4.250% 05/19/2017 21,500,000.000 2,710,098.22 NORWAY GOVERNMENT BOND 144A 4.500% 05/22/2019 36,650,000.000 4,990,647.71 NOVA CHEMICALS CORP 144A 5.000% 05/01/2025 DD 10/28/14 504,000.000 490,140.00 NOVELIS 5/15 COV-LITE TLB 372,065.170 361,833.38 NRG ENERGY INC 6.250% 05/01/2024 DD 11/01/14 162,000.000 148,635.00 NRG ENERGY INC 6.250% 07/15/2022 DD 07/15/14 969,000.000 901,170.00 NRG YIELD OPERATING LLC 5.375% 08/15/2024 DD 02/15/15 1,435,000.000 1,334,550.00 NUMERICABLE / YPSO 4/14 (USD) 0.000% 05/21/2020 DD 04/10/14 1,534,500.000 1,521,656.24 NUMERICABLE-SFR SA 144A 4.875% 05/15/2019 DD 05/08/14 522,000.000 519,390.00 NUMERICABLE-SFR SA 144A 6.000% 05/15/2022 DD 05/08/14 1,172,000.000 1,142,700.00 NXP BV / NXP FUNDING LLC 144A 4.625% 06/15/2022 DD 06/09/15 372,000.000 381,765.00 NXP BV / NXP FUNDING LLC 144A 5.750% 02/15/2021 DD 02/14/13 673,000.000 704,967.50

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 125 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

OAKWOOD MORTGAGE INVESTOR D A1 VAR RT 11/15/2029 DD 08/01/99 301,509.310 301,610.77 OCHSNER CLINIC FOUNDATION 5.897% 05/15/2045 DD 06/24/15 305,000.000 353,763.40 OGX AUSTRIA GMBH 144A 8.375% 04/01/2022 DD 03/30/12 2,400,000.000 24.00 OGX AUSTRIA GMBH 144A 8.500% 06/01/2018 DD 06/03/11 2,145,000.000 21.45 OMAHA LLC 1A CTFS 144A VAR RT 05/15/2040 DD 02/12/08 877,581.200 868,366.60 OMAHA LLC 1A D 144A VAR RT 05/15/2040 DD 02/12/08 23,979.910 23,931.95 OMEGA HEALTHCARE INVESTORS INC 4.500% 04/01/2027 DD 10/01/15 1,160,000.000 1,110,116.53 ON SEMICONDUCTOR 3/16 COV-LITE TLB 550,000.000 550,170.50 ONCOR ELECTRIC DELIVERY CO LLC 2.150% 06/01/2019 DD 12/01/14 600,000.000 604,933.81 ONCOR ELECTRIC DELIVERY CO LLC 4.100% 06/01/2022 DD 05/18/12 520,000.000 561,860.52 ONEMAIN FINANCIAL HOLDING 144A 6.750% 12/15/2019 DD 12/11/14 307,000.000 307,307.00 ONEMAIN FINANCIAL HOLDING 144A 7.250% 12/15/2021 DD 12/11/14 496,000.000 493,520.00 OPTEUM MORTGAGE ACCEPTA 4 1APT VAR RT 11/25/2035 DD 08/25/05 105,711.130 98,139.47 ORACLE CORP 1.200% 10/15/2017 DD 10/25/12 920,000.000 925,370.96 ORACLE CORP 5.375% 07/15/2040 DD 07/15/11 265,000.000 314,833.52 OREGON ST 5.742% 08/01/2024 DD 06/26/08 1,125,000.000 1,367,831.25 OREGON ST DEPT OF TRANSPRTN HI 5.834% 11/15/2034 DD 04/08/10 10,000.000 13,191.20 ORION ENGINEERED 7/14 (USD) COV-LITE TL 955,073.900 955,675.59 OUTFRONT MEDIA CAPITAL LLC / O 5.625% 02/15/2024 DD 11/15/14 2,040,000.000 2,124,150.00 OUTFRONT MEDIA CAPITAL LLC / O 5.875% 03/15/2025 DD 10/01/14 937,000.000 976,822.50 OVERSEA-CHINESE BANKING C 144A VAR RT 10/15/2024 DD 04/15/14 480,000.000 498,403.20 OWENS-BROCKWAY GLASS CONT 144A 5.875% 08/15/2023 DD 08/24/15 599,000.000 624,083.13 OWENS-BROCKWAY GLASS CONT 144A 6.375% 08/15/2025 DD 08/24/15 132,000.000 138,765.00 PANAMA GOVERNMENT INTERNATIONA 3.875% 03/17/2028 DD 03/17/16 280,000.000 282,800.00 PARSLEY ENERGY LLC / PARS 144A 7.500% 02/15/2022 DD 02/05/14 1,114,000.000 1,108,430.00 PATHEON 1/14 (USD) TL 1,600,625.000 1,540,265.43 PBF HOLDING CO LLC / PBF FINAN 8.250% 02/15/2020 DD 02/15/13 330,000.000 341,550.00 PENN NATIONAL GAMING INC 5.875% 11/01/2021 DD 05/01/14 135,000.000 134,325.00 PENN PRODUCTS TERMINALS 4/15 TLB 372,666.670 339,126.67 PENNON GROUP PLC REGS VAR RT 03/08/2049 1,075,000.000 1,597,439.22 PENSKE AUTOMOTIVE GROUP INC 5.375% 12/01/2024 DD 11/21/14 152,000.000 150,860.00 PENSKE AUTOMOTIVE GROUP INC 5.750% 10/01/2022 DD 04/01/13 420,000.000 428,400.00 PERRIGO CO PLC 1.300% 11/08/2016 DD 05/08/14 1,015,000.000 1,010,249.80 PERRIGO CO PLC 2.300% 11/08/2018 DD 05/08/14 275,000.000 274,735.45 PERRIGO FINANCE UNLIMITED CO 3.500% 03/15/2021 DD 03/10/16 200,000.000 204,947.60 PERRIGO FINANCE UNLIMITED CO 3.500% 12/15/2021 DD 12/02/14 370,000.000 377,144.70 PERRIGO FINANCE UNLIMITED CO 4.375% 03/15/2026 DD 03/10/16 340,000.000 350,002.80 PERUVIAN GOVERNMENT INTERNATIO 6.550% 03/14/2037 DD 03/14/07 170,000.000 211,650.00 PETCO 1/16 COV-LITE TLB1 390,000.000 389,403.30

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 126 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

PETROLEOS MEXICANOS 144A 6.375% 02/04/2021 DD 02/04/16 1,010,000.000 1,077,165.00 PETROLEOS MEXICANOS 144A 7.650% 11/24/2021 DD 12/07/11 16,783,000.000 947,130.08 PETROLEOS MEXICANOS 6.000% 03/05/2020 DD 09/05/10 345,000.000 364,837.50 PETSMART 5/15 COV-LITE TLB 694,750.000 691,449.94 PFIZER INC 1.500% 06/15/2018 DD 06/03/13 1,238,000.000 1,253,264.54 PFIZER INC 6.050% 03/30/2017 DD 09/30/15 1,055,000.000 1,108,968.53 PHARMACEUTICAL PRODUCT 8/15 COV-LITE TL 521,500.000 516,504.03 PHIBRO ANIMAL HEALTH 4/14 TLB 1,228,125.000 1,197,421.88 PHILIP MORRIS INTERNATIONAL IN 2.500% 05/16/2016 DD 05/16/11 985,000.000 987,268.46 PHILIP MORRIS INTERNATIONAL IN 3.375% 08/11/2025 DD 08/11/15 1,330,000.000 1,433,592.37 PHILIPPINE GOVERNMENT BOND 4.125% 08/20/2024 37,000,000.000 823,733.56 PHILIPPINE GOVERNMENT BOND 4.625% 09/09/2040 25,761,000.000 559,996.42 PHILIPPINE GOVERNMENT BOND 6.500% 04/28/2021 10,700,000.000 260,562.72 PHILIPPINE GOVERNMENT BOND 7.375% 03/03/2021 2,800,000.000 70,868.67 PHILIPPINE GOVERNMENT BOND 8.000% 07/19/2031 328,240,000.000 10,404,534.50 PHILIPPINE GOVERNMENT INTERNAT 4.950% 01/15/2021 DD 09/17/10 75,000,000.000 1,700,756.35 PHILIPPINE GOVERNMENT INTERNAT 6.250% 01/14/2036 DD 01/14/11 53,000,000.000 1,278,826.89 PHILIPPINE GOVERNMENT INTERNAT 9.500% 02/02/2030 DD 02/02/05 5,000.000 8,446.29 PINNACLE ENTERTAINMENT INC 6.375% 08/01/2021 DD 02/01/14 529,000.000 560,740.00 PINNACLE FOODS 1/16 INCREMENTAL TLI 324,187.500 325,182.76 PINNACLE FOODS FINANCE LL 144A 5.875% 01/15/2024 DD 01/15/16 709,000.000 742,110.30 PLA ADMINISTRADORA INDUST 144A 5.250% 11/10/2022 DD 11/10/15 1,325,000.000 1,278,625.00 PLAINS ALL AMERICAN PIPELINE L 3.650% 06/01/2022 DD 03/22/12 310,000.000 283,754.16 PLAINS ALL AMERICAN PIPELINE L 3.850% 10/15/2023 DD 08/15/13 295,000.000 263,870.13 PLAINS ALL AMERICAN PIPELINE L 4.650% 10/15/2025 DD 08/24/15 1,440,000.000 1,331,305.92 PLASTIPAK HOLDINGS INC 144A 6.500% 10/01/2021 DD 10/07/13 1,027,000.000 1,001,325.00 PLATFORM SPECIALTY PRODUC 144A 10.375% 05/01/2021 DD 11/10/15 186,000.000 179,955.00 PLATFORM SPECIALTY PRODUC 144A 6.500% 02/01/2022 DD 02/02/15 229,000.000 192,789.38 PLAYA RESORTS HOLDING BV 144A 8.000% 08/15/2020 DD 08/09/13 915,000.000 903,562.50 PLY GEM INDUSTRIES INC 6.500% 02/01/2022 DD 08/01/14 12,000.000 11,940.00 PORT OF MORROW OR TRANSMISSION 3.097% 09/01/2023 DD 08/26/15 2,620,000.000 2,748,091.80 POST HOLDINGS INC 144A 6.000% 12/15/2022 DD 06/02/14 486,000.000 500,580.00 POST HOLDINGS INC 144A 6.750% 12/01/2021 DD 11/18/13 1,535,000.000 1,617,506.25 POST HOLDINGS INC 144A 7.750% 03/15/2024 DD 08/18/15 1,292,000.000 1,417,970.00 POST HOLDINGS INC 7.375% 02/15/2022 DD 08/15/12 111,000.000 117,382.50 PQ CORP 144A 8.750% 11/01/2018 DD 11/08/12 2,482,000.000 2,326,875.00 PREFERRED TERM SECURITIES 144A VAR RT 03/22/2037 DD 12/14/06 1,205,995.192 604,802.97 PREFERRED TERM SECURITIES 144A VAR RT 03/22/2038 DD 11/08/07 375,538.961 161,061.77 PREFERRED TERM SECURITIES 144A VAR RT 03/24/2034 DD 03/17/04 629,000.000 358,045.67

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 127 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

PREFERRED TERM SECURITIES 144A VAR RT 04/03/2033 DD 03/26/03 534,000.000 341,760.00 PREFERRED TERM SECURITIES 144A VAR RT 06/22/2037 DD 03/22/07 428,673.421 211,954.87 PREFERRED TERM SECURITIES 144A VAR RT 06/24/2034 DD 06/17/04 1,055,000.008 602,037.50 PREFERRED TERM SECURITIES 144A VAR RT 07/03/2033 DD 06/26/03 448,000.000 196,331.52 PREFERRED TERM SECURITIES 144A VAR RT 09/22/2036 DD 06/15/06 805,119.917 373,712.17 PREFERRED TERM SECURITIES 144A VAR RT 09/22/2037 DD 06/21/07 5,387,406.892 2,448,188.43 PREFERRED TERM SECURITIES 144A VAR RT 09/23/2035 DD 06/15/05 2,004,087.223 1,006,395.74 PREFERRED TERM SECURITIES 144A VAR RT 09/26/2034 DD 09/20/04 719,999.991 357,300.00 PREFERRED TERM SECURITIES 144A VAR RT 12/22/2035 DD 09/15/05 1,336,019.248 673,560.61 PREFERRED TERM SECURITIES 144A VAR RT 12/22/2036 DD 09/21/06 91,950.652 42,757.05 PREFERRED TERM SECURITIES 144A VAR RT 12/22/2037 DD 09/20/07 381,298.223 175,269.06 PRESTIGE BRANDS 5/15 TLB3 101,920.820 101,997.26 PRESTIGE BRANDS INC 144A 6.375% 03/01/2024 DD 02/19/16 724,000.000 754,770.00 PRINCETON UNIVERSITY 5.700% 03/01/2039 DD 01/21/09 1,260,000.000 1,721,306.16 PRINCIPAL FINANCIAL GROUP INC 1.850% 11/15/2017 DD 11/16/12 300,000.000 300,600.90 PRIVATE EXPORT FUNDING CORP 3.550% 01/15/2024 DD 01/14/14 585,000.000 641,847.38 PROCTER & GAMBLE - ESOP 9.360% 01/01/2021 DD 12/04/90 597,852.000 718,232.49 PROVIDENT FUNDING ASSOCIA 144A 6.750% 06/15/2021 DD 06/04/13 1,230,000.000 1,165,425.00 PROVINCE OF ONTARIO CANADA 1.875% 05/21/2020 DD 05/21/15 565,000.000 570,155.06 PROVINCE OF ONTARIO CANADA 6.250% 09/29/2020 425,000.000 371,578.28 PROVINCE OF QUEBEC CANADA 7.125% 02/09/2024 DD 02/09/94 310,000.000 406,731.78 PRUDENTIAL FINANCIAL INC 5.100% 08/15/2043 DD 08/15/13 375,000.000 391,139.63 PRUDENTIAL FINANCIAL INC VAR RT 09/15/2042 DD 08/09/12 1,390,000.000 1,452,550.00 PVH CORP 4.500% 12/15/2022 DD 12/20/12 1,480,000.000 1,517,000.00 QUALITYTECH LP/QTS FINANCE COR 5.875% 08/01/2022 DD 02/01/15 1,832,000.000 1,868,640.00 QUEBECOR MEDIA 8/13 COV-LITE TLB 833,437.190 821,285.68 QUEBECOR MEDIA INC 5.750% 01/15/2023 DD 12/15/12 1,693,000.000 1,743,790.00 QUEENSLAND TREASURY CORP 144A 4.000% 06/21/2019 8,365,000.000 6,785,259.21 QUEENSLAND TREASURY CORP REGS 5.500% 06/21/2021 4,045,000.000 3,570,834.80 QUEENSLAND TREASURY CORP REGS 6.000% 04/21/2016 2,214,000.000 1,706,687.54 QUEENSLAND TREASURY CORP REGS 6.000% 07/21/2022 4,725,000.000 4,352,335.39 QUEENSLAND TREASURY CORP REGS 6.250% 02/21/2020 4,050,000.000 3,570,905.73 QUEST DIAGNOSTICS INC 4.250% 04/01/2024 DD 03/17/14 1,945,000.000 2,025,371.29 QUICKEN LOANS INC 144A 5.750% 05/01/2025 DD 05/06/15 609,000.000 590,730.00 QUINCY NEWSPAPERS 10/15 TLB 502,187.310 493,399.03 QUINTILES TRANSNATIONAL 5/15 TLB 701,612.260 700,735.24 QUINTILES TRANSNATIONAL C 144A 4.875% 05/15/2023 DD 05/12/15 699,000.000 717,104.10 QVC INC 4.450% 02/15/2025 DD 08/21/14 1,635,000.000 1,580,546.33 QVC INC 5.950% 03/15/2043 DD 03/18/13 1,550,000.000 1,351,720.90

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 128 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

RAAC SERIES 2005-R RP2 M5 144A VAR RT 06/25/2035 DD 08/09/05 325,000.000 276,475.88 RAIT PREFERRED FUND 2A A2 144A VAR RT 06/25/2045 DD 06/07/07 905,000.000 785,788.88 RAMP SERIES 2003-RS2 T RS2 AII VAR RT 03/25/2033 DD 03/28/03 36,245.760 31,877.26 RAMP SERIES 2003-RS3 T RS3 AII VAR RT 04/25/2033 DD 04/29/03 23,469.810 20,444.38 RAMPART CLO 2007 LTD 1A E 144A VAR RT 10/25/2021 DD 10/31/07 3,658,000.000 3,479,672.50 RANGE RESOURCES CORP 5.000% 03/15/2023 DD 03/18/13 603,000.000 511,042.50 RANGE RESOURCES CORP 5.000% 08/15/2022 DD 03/09/12 534,000.000 460,575.00 RCN CABLE (8/10) TL 0.000% 03/01/2020 DD 05/07/10 491,735.470 488,868.66 RCS CAP 3/14 TL 827,052.570 545,854.70 REGENCY ENERGY PARTNERS LP / R 4.500% 11/01/2023 DD 11/01/13 440,000.000 388,228.28 REGENCY ENERGY PARTNERS LP / R 5.000% 10/01/2022 DD 07/25/14 1,210,000.000 1,137,135.01 REGIONS BANK/BIRMINGHAM AL 2.250% 09/14/2018 DD 07/31/15 1,050,000.000 1,048,197.15 REGIONS FINANCIAL CORP 7.375% 12/10/2037 DD 12/10/07 1,450,000.000 1,866,161.60 RENAISSANCE LEARNING 4/14 COV-LITE TL 736,875.000 713,390.79 RESIX FINANCE LTD C A B11 144A VAR RT 03/10/2035 DD 09/25/03 20,287.400 24,649.19 REYNOLDS GROUP 11/13 (USD) TL 0.000% 12/01/2018 DD 11/14/13 325,000.000 325,000.00 REYNOLDS GROUP ISSUER INC / RE 5.750% 10/15/2020 DD 09/28/12 1,330,000.000 1,364,912.50 REYNOLDS GROUP ISSUER INC / RE STEP 02/15/2021 DD 02/15/12 45,000.000 46,575.00 REYNOLDS GROUP ISSUER INC / RE VAR RT 02/15/2021 DD 02/15/12 772,000.000 791,300.00 RHP HOTEL PROPERTIES LP / RHP 5.000% 04/15/2023 DD 04/14/15 528,000.000 539,880.00 RIO TINTO FINANCE USA LTD 7.125% 07/15/2028 DD 06/27/08 1,145,000.000 1,350,893.90 RIO TINTO FINANCE USA LTD 9.000% 05/01/2019 DD 04/17/09 540,000.000 639,004.14 RIO TINTO FINANCE USA PLC 1.375% 06/17/2016 DD 06/19/13 165,000.000 164,917.83 RITE AID 2/13 2ND LIEN TL 428,000.000 428,890.24 RITE AID CORP 144A 6.125% 04/01/2023 DD 04/02/15 925,000.000 980,500.00 RITE AID CORP 6.750% 06/15/2021 DD 07/02/13 400,000.000 422,500.00 RITE AID CORP 7.700% 02/15/2027 DD 12/20/96 220,000.000 264,000.00 RIVERBED TECHNOLOGY 2/15 COVLT TL 437,828.560 438,686.71 RIVERBED TECHNOLOGY INC 144A 8.875% 03/01/2023 DD 03/09/15 595,000.000 592,025.00 ROSE ROCK MIDSTREAM LP / ROSE 5.625% 07/15/2022 DD 07/02/14 790,000.000 525,350.00 ROYAL BANK OF CANADA 1.200% 01/23/2017 DD 01/23/14 2,435,000.000 2,439,870.00 ROYAL BANK OF SCOTLAND GROUP P 5.125% 05/28/2024 DD 05/28/14 787,000.000 756,613.93 ROYAL BK CANADA NY INSTL C/D VAR RT 06/21/2016 DD 06/21/13 465,000.000 465,375.72 ROYALTY PHARMA 12/14 TLB4 196,003.790 196,395.80 RSI HOME PRODUCTS INC 144A 6.500% 03/15/2023 DD 03/16/15 455,000.000 474,337.50 RSP PERMIAN INC 6.625% 10/01/2022 DD 04/01/15 1,052,000.000 1,036,220.00 RWE AG REGS VAR RT 03/29/2049 900,000.000 1,240,533.63 SABINE PASS LIQUEFACTION LLC 5.625% 03/01/2025 DD 09/01/15 1,580,000.000 1,506,925.00 SABINE PASS LIQUEFACTION LLC 6.250% 03/15/2022 DD 09/15/14 645,000.000 631,293.75

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 129 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

SALIX PHARMACEUTICALS 12/13 TL 0.010 0.01 SALLY HOLDINGS LLC / SALLY CAP 5.625% 12/01/2025 DD 12/03/15 133,000.000 141,645.00 SALLY HOLDINGS LLC / SALLY CAP 5.750% 06/01/2022 DD 05/18/12 767,000.000 802,473.75 SAM FINANCE 11/13 (USD) COV-LITE TL 482,418.880 482,418.88 SAN ANTONIO TX ELEC & GAS REVE 5.718% 02/01/2041 DD 03/23/10 245,000.000 319,987.15 SAN DIEGO GAS & ELECTRIC CO 1.914% 02/01/2022 DD 03/12/15 475,714.920 473,190.30 SANDY CREEK ENERGY 11/13 TL 767,547.670 436,220.37 SANTANDER UK GROUP HOLDINGS PL 3.125% 01/08/2021 DD 01/08/16 420,000.000 422,456.58 SBA COMMUNICATIONS CORP 4.875% 07/15/2022 DD 01/15/15 510,000.000 516,375.00 SBA TELECOMMUNICATIONS INC 5.750% 07/15/2020 DD 01/15/13 1,083,000.000 1,118,197.50 SBA TOWER TRUST 144A 5.101% 04/15/2042 DD 04/16/10 240,000.000 242,330.26 SCHAEFFLER FINANCE BV 144A 4.250% 05/15/2021 DD 05/14/14 444,000.000 451,770.00 SCHAEFFLER FINANCE BV 144A 4.750% 05/15/2021 DD 04/29/13 891,000.000 913,275.00 SCHAEFFLER HOLDING FINANC 144A 6.250% 11/15/2019 DD 10/28/14 281,000.000 293,996.25 SCHAEFFLER HOLDING FINANC 144A 6.875% 08/15/2018 DD 07/24/13 612,000.000 630,360.00 SCIENTIFIC GAMES 10/13 COV-LITE TLB 1,215,950.750 1,175,678.46 SCIENTIFIC GAMES INTERNAT 144A 7.000% 01/01/2022 DD 11/21/14 1,247,000.000 1,271,940.00 SCIENTIFIC GAMES INTERNATIONAL 10.000% 12/01/2022 DD 11/21/14 1,214,000.000 983,340.00 SCOTTS MIRACLE-GRO CO/THE 144A 6.000% 10/15/2023 DD 10/13/15 1,089,000.000 1,148,895.00 SCRIPPS NETWORKS INTERACTIVE I 3.950% 06/15/2025 DD 06/02/15 1,705,000.000 1,708,829.43 SEADRILL PARTNERS 2/14 TL 979,603.520 431,025.55 SEALED AIR CORP 144A 4.875% 12/01/2022 DD 11/24/14 1,455,000.000 1,513,200.00 SEALED AIR CORP 144A 5.125% 12/01/2024 DD 11/24/14 1,295,000.000 1,343,562.50 SEALED AIR CORP 144A 6.500% 12/01/2020 DD 11/28/12 2,050,000.000 2,316,500.00 SEAWORLD 5/13 TLB 348,167.720 337,026.35 SEDGWICK CMS 2/14 TL 1,151,268.310 1,118,652.88 SELECT MEDICAL CORP 6.375% 06/01/2021 DD 05/28/13 845,000.000 798,525.00 SEMINOLE TRIBE OF FLORIDA 144A 7.804% 10/01/2020 DD 09/28/07 122,000.000 126,270.00 SENSATA TECHNOLOGIES UK F 144A 6.250% 02/15/2026 DD 11/27/15 689,000.000 733,785.00 SEQUA 12/12 COV-LITE TLB 0.000% 06/19/2017 DD 11/28/12 1,259,963.000 869,374.47 SERTA SIMMONS BEDDING LLC 144A 8.125% 10/01/2020 DD 10/01/12 722,000.000 749,082.22 SERVICE CORP INTERNATIONAL/US 4.500% 11/15/2020 DD 11/08/12 800,000.000 826,000.00 SERVICE KING 10/15 INCREMENTAL COV-LITE TL 412,507.880 409,414.07 SERVICEMASTER 7/14 COV-LITE TLB 989,724.930 988,735.20 SFA COLLATERALIZED 1A B1 144A VAR RT 06/15/2035 DD 06/22/00 557,175.000 13,929.38 SFAVE COMMERCIAL M 5AVE D 144A VAR RT 01/05/2043 DD 02/01/15 1,165,000.000 877,977.44 SG MORTGAGE SECUR AHL1 A1 144A VAR RT 08/25/2037 DD 10/25/07 5,499,983.758 915,365.05 SIGNODE 5/14 (USD) COV-LITE TL 694,901.440 674,054.40 SIGNODE INDUSTRIAL GROUP 144A 6.375% 05/01/2022 DD 04/29/14 201,000.000 182,658.75

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 130 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

SINGAPORE GOVERNMENT BOND 2.375% 04/01/2017 11,175,000.000 8,433,116.74 SINGAPORE GOVERNMENT BOND 2.500% 06/01/2019 2,840,000.000 2,209,193.52 SINGAPORE GOVERNMENT BOND 3.250% 09/01/2020 11,750,000.000 9,471,725.08 SINGTEL GROUP TREASURY PT REGS 4.500% 09/08/2021 755,000.000 844,860.10 SIRIUS XM RADIO INC 144A 5.250% 08/15/2022 DD 08/13/12 430,000.000 452,575.00 SIRIUS XM RADIO INC 144A 5.375% 04/15/2025 DD 03/06/15 1,268,000.000 1,290,190.00 SIRIUS XM RADIO INC 144A 5.875% 10/01/2020 DD 09/24/13 1,180,000.000 1,232,923.00 SIXSIGMA NETWORKS MEXICO 144A 8.250% 11/07/2021 DD 11/07/14 985,000.000 928,362.50 SMB PRIVATE EDUCATION A R 144A 0.000% 10/15/2048 DD 04/23/15 1,168.000 1,752,000.00 SMB PRIVATE EDUCATION C R 144A 0.000% 09/18/2046 DD 10/27/15 284.000 386,240.00 SOLENIS 7/14 (USD) COV-LITE TL 589,020.120 565,353.29 SOLERA 3/16 (USD) COV-LITE TL 435,000.000 434,147.40 SOLERA LLC / SOLERA FINAN 144A 10.500% 03/01/2024 DD 03/03/16 388,000.000 389,940.00 SONIC CAPITAL LLC 1A A2 144A 5.438% 05/20/2041 DD 05/20/11 1,045,855.950 1,078,499.93 SOUTH CAROLINA ELECTRIC & GAS 5.100% 06/01/2065 DD 05/22/15 375,000.000 425,364.00 SOUTHCROSS HOLDINGS 8/14 COV-L 0.000% 08/04/2021 DD 07/10/14 1,108,125.000 113,582.81 SOUTHERN CALIFORNIA EDISON CO 1.845% 02/01/2022 DD 01/16/15 3,599,999.960 3,555,133.16 SOUTHERN CALIFORNIA EDISON CO 3.900% 03/15/2043 DD 03/07/13 540,000.000 554,457.96 SPECTRUM BRANDS 6/15 (USD) COV-LITE TL 712,731.970 714,335.62 SPECTRUM BRANDS INC 5.750% 07/15/2025 DD 01/15/16 1,549,000.000 1,645,812.50 SPECTRUM BRANDS INC 6.375% 11/15/2020 DD 11/15/13 401,000.000 422,253.00 SPECTRUM BRANDS INC 6.625% 11/15/2022 DD 11/15/13 165,000.000 178,404.60 SPRINGLEAF FINANCE CORP 6.000% 06/01/2020 DD 12/01/13 195,000.000 187,200.00 SPRINGLEAF FINANCE CORP 6.900% 12/15/2017 DD 12/17/07 364,000.000 375,830.00 SPRINGLEAF FINANCE CORP 7.750% 10/01/2021 DD 09/24/13 191,000.000 187,390.10 SPRINGLEAF FINANCE CORP 8.250% 10/01/2023 DD 09/24/13 291,000.000 280,815.00 SPRINGS INDUSTRIES INC 6.250% 06/01/2021 DD 06/04/13 689,000.000 692,445.00 SPRINT COMMUNICATIONS INC 11.500% 11/15/2021 DD 05/15/12 139,000.000 123,710.00 SPRINT COMMUNICATIONS INC 144A 7.000% 03/01/2020 DD 03/01/12 1,508,000.000 1,508,000.00 SPRINT COMMUNICATIONS INC 144A 9.000% 11/15/2018 DD 11/09/11 1,281,000.000 1,341,847.50 SPRINT CORP 7.125% 06/15/2024 DD 06/15/14 3,033,000.000 2,252,002.50 SPRINT CORP 7.625% 02/15/2025 DD 02/24/15 83,000.000 61,627.50 SPRINT CORP 7.875% 09/15/2023 DD 09/15/14 212,000.000 162,135.48 STANDARD INDUSTRIES INC/N 144A 5.500% 02/15/2023 DD 02/23/16 90,000.000 92,025.00 STANDARD INDUSTRIES INC/N 144A 6.000% 10/15/2025 DD 10/05/15 575,000.000 608,062.50 STARBUCKS CORP 2.100% 02/04/2021 DD 02/04/16 440,000.000 447,890.08 STATOIL ASA 7.150% 11/15/2025 DD 11/15/95 20,000.000 25,292.96 STERIGENICS-NORDION 5/15 COV-LITE TLB 525,000.000 519,750.00 STERIGENICS-NORDION HOLDI 144A 6.500% 05/15/2023 DD 05/15/15 742,000.000 740,145.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 131 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

STHRN CALIFORNIA ST PUBLIC PWR 6.930% 05/15/2017 DD 09/15/97 150,000.000 160,170.00 STRUCTURED ADJUSTABLE RA 10 2A VAR RT 08/25/2034 DD 07/01/04 1,315,022.400 1,309,649.61 STRUCTURED ASSET INVESTME 2 M2 VAR RT 03/25/2035 DD 02/25/05 1,545,000.000 1,438,728.26 STRUCTURED ASSET S RM1 A1 144A VAR RT 05/25/2047 DD 05/30/07 3,217,512.946 2,603,305.81 STRUCTURED ASSET S RM1 A1 144A VAR RT 08/25/2046 DD 09/19/06 862,066.540 572,100.12 STRUCTURED ASSET SECUR 37A 3A6 VAR RT 12/25/2033 DD 11/01/03 92,331.760 90,200.81 STYROLUTION 10/14 (USD) COV-LITE TLB 740,006.240 741,856.26 SUBURBAN PROPANE PARTNERS LP/S 5.750% 03/01/2025 DD 02/25/15 675,000.000 644,625.00 SUGARHOUSE HSP GAMING PRO 144A 6.375% 06/01/2021 DD 05/24/13 726,000.000 698,775.00 SUMITOMO MITSUI BANKING CORP 1.750% 01/16/2018 DD 01/16/15 1,220,000.000 1,222,153.30 SUMITOMO MITSUI FINANCIAL GROU 3.784% 03/09/2026 DD 03/09/16 255,000.000 262,842.53 SUMMIT MATERIALS 6/15 COV-LITE TLB 704,675.000 702,032.47 SUMMIT MIDSTREAM HOLDINGS LLC 7.500% 07/01/2021 DD 01/01/14 385,000.000 302,225.00 SUNOCO LOGISTICS PARTNERS OPER 3.450% 01/15/2023 DD 01/10/13 530,000.000 473,223.76 SUNOCO LOGISTICS PARTNERS OPER 5.950% 12/01/2025 DD 11/17/15 165,000.000 165,773.85 SUNTORY HOLDINGS LTD 144A 1.650% 09/29/2017 DD 10/01/14 335,000.000 335,472.69 SUNTRUST BANKS INC 2.900% 03/03/2021 DD 03/03/16 680,000.000 689,932.77 SURGICAL CARE 3/15 TLB 1,042,125.000 1,037,779.34 SURGICAL CARE AFFILIATES 144A 6.000% 04/01/2023 DD 03/17/15 198,000.000 199,485.00 SWEDEN GOVERNMENT BOND 1.500% 11/13/2023 30,965,000.000 4,144,085.45 SWEDEN GOVERNMENT BOND 3.500% 06/01/2022 35,030,000.000 5,201,726.20 SWEDEN GOVERNMENT BOND 5.000% 12/01/2020 12,985,000.000 1,985,031.00 SYNCHRONY FINANCIAL 2.600% 01/15/2019 DD 12/04/15 400,000.000 400,854.40 SYNOVUS FINANCIAL CORP 5.125% 06/15/2017 DD 06/20/05 1,352,000.000 1,375,660.00 SYNOVUS FINANCIAL CORP 7.875% 02/15/2019 DD 02/13/12 1,369,000.000 1,505,900.00 SYSCO CORP 2.600% 06/12/2022 DD 06/12/12 615,000.000 618,450.77 T-MOBILE 11/15 COV-LITE TLB 259,762.500 260,656.08 T-MOBILE USA INC 6.000% 03/01/2023 DD 09/05/14 399,000.000 407,478.75 T-MOBILE USA INC 6.125% 01/15/2022 DD 11/21/13 2,798,000.000 2,888,935.00 T-MOBILE USA INC 6.250% 04/01/2021 DD 10/01/13 742,000.000 778,951.60 T-MOBILE USA INC 6.375% 03/01/2025 DD 09/05/14 134,000.000 137,182.50 T-MOBILE USA INC 6.500% 01/15/2024 DD 11/21/13 1,415,000.000 1,471,600.00 T-MOBILE USA INC 6.500% 01/15/2026 DD 11/05/15 733,000.000 761,403.75 T-MOBILE USA INC 6.625% 04/01/2023 DD 10/01/13 696,000.000 732,540.00 T-MOBILE USA INC 6.633% 04/28/2021 DD 07/28/13 464,000.000 484,880.00 T-MOBILE USA INC 6.731% 04/28/2022 DD 07/28/13 212,000.000 221,497.60 T-MOBILE USA INC 6.836% 04/28/2023 DD 07/28/13 140,000.000 147,700.00 TABERNA PREFERRED 1A A1A 144A VAR RT 07/05/2035 DD 03/15/05 346,235.017 253,814.50 TABERNA PREFERRED 1A A1B 144A 5.092% 07/05/2035 DD 03/15/05 224,532.828 163,849.91

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 132 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

TABERNA PREFERRED 6A A1BF 144A VAR RT 12/05/2036 DD 06/27/06 7,884,458.458 5,844,938.28 TABERNA PREFERRED 8A A1B 144A VAR RT 11/07/2037 DD 03/29/07 3,064,769.521 2,819,486.82 TABERNA PREFERRED F 2A A2 144A VAR RT 11/05/2035 DD 06/28/05 332,000.000 136,120.00 TABERNA PREFERRED F 8A A2 144A VAR RT 11/07/2037 DD 03/29/07 880,000.000 466,400.00 TARGA RESOURCES PARTNERS 144A 6.750% 03/15/2024 DD 09/14/15 411,000.000 403,807.50 TARGA RESOURCES PARTNERS LP / 4.125% 11/15/2019 DD 10/28/14 200,000.000 188,876.00 TARGA RESOURCES PARTNERS LP / 4.250% 11/15/2023 DD 05/14/13 636,000.000 558,090.00 TARGA RESOURCES PARTNERS LP / 5.000% 01/15/2018 DD 01/30/15 368,000.000 367,080.00 TARGA RESOURCES PARTNERS LP / 5.250% 05/01/2023 DD 10/25/12 30,000.000 27,675.00 TAYLOR MORRISON COMMUNITI 144A 5.250% 04/15/2021 DD 04/16/13 626,000.000 613,480.00 TAYLOR MORRISON COMMUNITI 144A 5.625% 03/01/2024 DD 03/05/14 117,000.000 112,027.50 TAYLOR MORRISON COMMUNITI 144A 5.875% 04/15/2023 DD 04/16/15 82,000.000 78,720.00 TCW GLOBAL PROJECT 1A B2 144A 5.793% 09/01/2017 DD 06/22/05 1,393,313.790 1,383,212.26 TEAM HEALTH 11/15 TLB 299,775.000 299,775.00 TEKNI-PLEX 4/15 (USD) COV-LITE TL 436,975.000 428,781.72 TELECOM ITALIA SPA/MILANO 144A 5.303% 05/30/2024 DD 05/30/14 518,000.000 530,950.00 TEMPUR SEALY INTERNATIONA 144A 5.625% 10/15/2023 DD 09/24/15 895,000.000 920,731.25 TEMPUR SEALY INTERNATIONAL INC 6.875% 12/15/2020 DD 06/15/13 465,000.000 490,575.00 TENET HEALTHCARE CORP 4.375% 10/01/2021 DD 05/30/13 2,080,000.000 2,085,200.00 TENET HEALTHCARE CORP 4.500% 04/01/2021 DD 02/05/13 515,000.000 517,575.00 TENET HEALTHCARE CORP 6.000% 10/01/2020 DD 09/27/13 2,898,000.000 3,086,370.00 TENET HEALTHCARE CORP 6.250% 11/01/2018 DD 11/21/11 433,000.000 461,145.00 TENET HEALTHCARE CORP 6.750% 06/15/2023 DD 06/16/15 337,000.000 322,677.50 TENET HEALTHCARE CORP 8.125% 04/01/2022 DD 09/27/13 1,588,000.000 1,633,655.00 TESORO LOGISTICS LP / TES 144A 5.500% 10/15/2019 DD 10/29/14 142,000.000 141,290.00 TESORO LOGISTICS LP / TES 144A 6.250% 10/15/2022 DD 10/29/14 1,263,000.000 1,250,370.00 TEXAS CHILDREN'S HOSPITAL 3.368% 10/01/2029 DD 12/16/14 660,000.000 701,556.24 TEXAS ST 2.831% 10/01/2025 DD 10/29/15 230,000.000 237,813.10 TEXAS ST 3.011% 10/01/2026 DD 10/29/15 310,000.000 320,862.40 TEXAS ST 3.311% 10/01/2028 DD 10/29/15 645,000.000 658,287.00 TEXAS ST TRANSPRTN COMMISSION 5.028% 04/01/2026 DD 08/05/10 1,870,000.000 2,266,196.90 THOMSON REUTERS CORP 0.875% 05/23/2016 DD 05/23/13 1,215,000.000 1,214,716.91 TIAA ASSET MANAGEMENT FIN 144A 2.950% 11/01/2019 DD 10/30/14 1,250,000.000 1,268,582.50 TIME WARNER CABLE INC 5.500% 09/01/2041 DD 09/12/11 160,000.000 158,673.77 TIME WARNER CABLE INC 5.850% 05/01/2017 DD 04/09/07 70,000.000 72,970.38 TIME WARNER INC 3.875% 01/15/2026 DD 11/20/15 1,868,000.000 1,958,982.81 TNT CRANE 11/13 2ND LIEN COV-LITE TL 500,000.000 353,750.00 TNT CRANE 11/13 COV-LITE TL 833,325.790 612,494.46 TOLL BROTHERS FINANCE CORP 4.875% 11/15/2025 DD 10/30/15 232,000.000 229,680.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 133 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

TOLL BROTHERS FINANCE CORP 5.875% 02/15/2022 DD 02/07/12 330,000.000 352,275.00 TORONTO-DOMINION BANK/THE VAR RT 07/13/2016 DD 07/21/14 750,000.000 750,285.00 TOWER INTERNATIONAL 1/14 TLB 605,432.620 600,135.08 TOYOTA AUTO RECEIVABLES 2 B A3 0.760% 03/15/2018 DD 06/18/14 1,078,007.150 1,076,930.11 TOYOTA AUTO RECEIVABLES 2 B A3 1.270% 05/15/2019 DD 06/17/15 1,785,000.000 1,788,082.16 TPF 9/14 COV-LITE TL 706,545.790 688,882.15 TRADE MAPS 1 LTD 1A D 144A VAR RT 12/10/2018 DD 12/12/13 2,000,000.000 2,000,000.00 TRANS DIGM INC TLE 0.000% 05/16/2022 DD 05/07/15 695,476.100 684,174.62 TRANSALTA CORP 1.900% 06/03/2017 DD 06/03/14 255,000.000 246,282.57 TRANSALTA CORP 4.500% 11/15/2022 DD 11/07/12 330,000.000 245,985.63 TRANSCANADA TRUST VAR RT 05/20/2075 DD 05/20/15 3,840,000.000 3,381,696.00 TRANSCONTINENTAL GAS PIPE 144A 7.850% 02/01/2026 DD 01/22/16 510,000.000 583,296.18 TRANSDIGM INC 5.500% 10/15/2020 DD 04/15/13 41,000.000 41,123.00 TRANSDIGM INC 6.000% 07/15/2022 DD 06/04/14 397,000.000 395,511.25 TRANSDIGM INC 6.500% 05/15/2025 DD 11/15/15 722,000.000 705,755.00 TRANSDIGM INC 6.500% 07/15/2024 DD 06/04/14 330,000.000 327,426.00 TRANSUNION 5/15 TLB2 1,323,620.260 1,309,722.25 TRAPEZA CDO VI LTD 6A B2 144A VAR RT 11/16/2034 DD 04/20/04 1,810,989.199 855,692.40 TRAPEZA CDO XIII 13A A2A 144A VAR RT 11/09/2042 DD 08/15/07 1,270,000.000 610,806.50 TRAPEZA CDO XIII L 13A A3 144A VAR RT 11/09/2042 DD 08/15/07 376,000.000 174,194.40 TRAPEZA CDO XIII L 13A C1 144A VAR RT 11/09/2042 DD 08/15/07 407,932.141 173,031.36 TRAVELERS COS INC/THE 6.250% 06/15/2037 DD 05/29/07 140,000.000 186,790.38 TREEHOUSE FOODS INC 144A 6.000% 02/15/2024 DD 01/29/16 98,000.000 103,880.00 TRIBUNE 6/15 TL 967,687.500 963,255.49 TRIBUNE PUBLISHING 7/14 COV-LITE TL 699,971.900 643,974.15 TRINITY ACQUISITION PLC 3.500% 09/15/2021 DD 03/22/16 470,000.000 478,137.11 TROPIC CDO II LTD 2A A4 144A VAR RT 04/15/2034 DD 10/15/03 603,000.000 212,403.74 TROPIC CDO II LTD 2A A4L 144A VAR RT 04/15/2034 DD 10/15/03 434,000.000 150,704.33 TROPIC CDO II LTD 2A B1L 144A VAR RT 04/15/2034 DD 10/15/03 314,000.000 56,520.00 TROPIC CDO IV LTD 4A A4 144A VAR RT 04/15/2035 DD 11/18/04 709,000.000 269,420.00 TTM TECHNOLOGIES 5/15 COV-LITE 0.000% 05/31/2021 DD 04/21/15 334,702.310 317,130.44 TYSON FOODS INC VAR RT 04/01/2016 DD 03/22/06 695,000.000 695,000.00 U S TREASURY BOND 2.500% 02/15/2046 DD 02/15/16 905,000.000 882,410.30 U S TREASURY BOND 2.750% 11/15/2042 DD 11/15/12 1,295,000.000 1,335,115.22 U S TREASURY BOND 3.000% 11/15/2045 DD 11/15/15 1,865,000.000 2,013,398.05 U S TREASURY BOND 3.375% 05/15/2044 DD 05/15/14 3,970,000.000 4,602,254.26 U S TREASURY BOND 3.625% 02/15/2044 DD 02/15/14 2,505,000.000 3,038,975.82 U S TREASURY BOND 3.750% 11/15/2043 DD 11/15/13 605,000.000 751,428.76 U S TREASURY BOND 3.875% 08/15/2040 DD 08/15/10 105,000.000 131,606.79

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 134 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

U S TREASURY BOND 4.250% 11/15/2040 DD 11/15/10 1,705,000.000 2,256,860.76 U S TREASURY BOND 4.500% 02/15/2036 DD 02/15/06 1,210,000.000 1,660,204.70 U S TREASURY BOND 4.500% 08/15/2039 DD 08/15/09 2,275,000.000 3,115,239.40 U S TREASURY BOND 4.625% 02/15/2040 DD 02/15/10 2,330,000.000 3,244,706.74 U S TREASURY BOND 5.500% 08/15/2028 DD 08/15/98 560,000.000 778,815.52 U S TREASURY NOTE 0.625% 09/30/2017 DD 09/30/12 1,840,000.000 1,837,628.24 U S TREASURY NOTE 0.750% 01/31/2018 DD 01/31/16 2,385,000.000 2,385,839.52 U S TREASURY NOTE 0.750% 02/15/2019 DD 02/15/16 1,420,000.000 1,415,784.02 U S TREASURY NOTE 0.750% 02/28/2018 DD 02/28/13 2,185,000.000 2,185,511.29 U S TREASURY NOTE 0.750% 04/15/2018 DD 04/15/15 2,035,000.000 2,034,283.68 U S TREASURY NOTE 0.875% 04/15/2017 DD 04/15/14 1,405,000.000 1,408,348.12 U S TREASURY NOTE 0.875% 07/15/2018 DD 07/15/15 2,755,000.000 2,760,058.18 U S TREASURY NOTE 1.000% 03/15/2018 DD 03/15/15 4,325,000.000 4,346,118.98 U S TREASURY NOTE 1.000% 03/15/2019 DD 03/15/16 535,000.000 537,089.71 U S TREASURY NOTE 1.000% 08/15/2018 DD 08/15/15 1,590,000.000 1,597,390.32 U S TREASURY NOTE 1.000% 09/15/2018 DD 09/15/15 345,000.000 346,644.27 U S TREASURY NOTE 1.125% 02/28/2021 DD 02/29/16 2,705,000.000 2,693,904.09 U S TREASURY NOTE 1.250% 11/15/2018 DD 11/15/15 800,000.000 808,624.80 U S TREASURY NOTE 1.375% 02/29/2020 DD 02/28/15 575,000.000 581,311.78 U S TREASURY NOTE 1.375% 09/30/2020 DD 09/30/15 1,455,000.000 1,467,162.35 U S TREASURY NOTE 1.375% 10/31/2020 DD 10/31/15 3,885,000.000 3,916,111.08 U S TREASURY NOTE 1.500% 02/28/2023 DD 02/29/16 605,000.000 603,322.34 U S TREASURY NOTE 1.500% 05/31/2019 DD 05/31/14 5,945,000.000 6,051,362.00 U S TREASURY NOTE 1.500% 05/31/2020 DD 05/31/15 6,150,000.000 6,242,489.86 U S TREASURY NOTE 1.500% 10/31/2019 DD 10/31/14 2,750,000.000 2,797,374.26 U S TREASURY NOTE 1.500% 11/30/2019 DD 11/30/14 2,430,000.000 2,470,816.72 U S TREASURY NOTE 1.625% 02/15/2026 DD 02/15/16 1,615,000.000 1,591,532.44 U S TREASURY NOTE 1.625% 03/31/2019 DD 03/31/14 700,000.000 715,148.70 U S TREASURY NOTE 1.625% 04/30/2019 DD 04/30/14 5,480,000.000 5,599,233.84 U S TREASURY NOTE 1.625% 07/31/2019 DD 07/31/14 1,465,000.000 1,497,046.88 U S TREASURY NOTE 1.625% 07/31/2020 DD 07/31/15 7,055,000.000 7,194,724.28 U S TREASURY NOTE 2.000% 07/31/2022 DD 07/31/15 6,055,000.000 6,243,982.61 U S TREASURY NOTE 2.125% 05/15/2025 DD 05/15/15 230,000.000 237,106.54 U S TREASURY NOTE 2.125% 12/31/2021 DD 12/31/14 2,575,000.000 2,678,100.43 U S TREASURY NOTE 2.375% 08/15/2024 DD 08/15/14 3,375,000.000 3,554,296.88 U.S. RENAL CARE 8/13 2ND LIEN INCREMENTAL COV-LITE TL 0.370 0.38 U.S.I. 12/13 COV-LITE TLB 714,017.180 702,114.52 UNION PACIFIC CORP 4.375% 11/15/2065 DD 10/29/15 210,000.000 208,079.34 UNITED RENTALS NORTH AMERICA I 7.625% 04/15/2022 DD 10/15/12 811,000.000 863,715.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 135 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

UNITED SURGICAL (ADD-ON) TL 0.070 0.07 UNITEDHEALTH GROUP INC 1.900% 07/16/2018 DD 07/23/15 1,890,000.000 1,919,565.27 UNITEDHEALTH GROUP INC 3.750% 07/15/2025 DD 07/23/15 2,795,000.000 3,011,564.99 UNITEDHEALTH GROUP INC 6.000% 02/15/2018 DD 02/07/08 1,215,000.000 1,319,185.04 UNITYMEDIA GMBH 144A 6.125% 01/15/2025 DD 10/22/14 1,761,000.000 1,830,348.18 UNITYMEDIA HESSEN GMBH & 144A 5.000% 01/15/2025 DD 12/17/14 852,000.000 849,870.00 UNITYMEDIA HESSEN GMBH & 144A 5.500% 01/15/2023 DD 12/14/12 63,000.000 64,575.00 UNIV OF TEXAS TX 5.094% 08/15/2030 DD 06/30/10 745,000.000 918,011.35 UNIV OF TEXAS TX PERMANENT UNI 3.780% 07/01/2045 DD 12/09/15 1,740,000.000 1,831,941.60 UNIV OF TEXAS TX UNIV REVENUES 3.852% 08/15/2046 DD 01/14/16 1,325,000.000 1,435,968.75 UNIVAR 6/15 (USD) COV-LITE TLB 368,400.000 362,645.60 UNIVISION 1/14 TLC4 1,453,213.300 1,437,315.15 UNIVISION COMMUNICATIONS 144A 5.125% 02/15/2025 DD 02/19/15 1,252,000.000 1,236,350.00 UNIVISION COMMUNICATIONS 144A 5.125% 05/15/2023 DD 05/21/13 837,000.000 832,815.00 UNIVISION COMMUNICATIONS 144A 6.750% 09/15/2022 DD 08/29/12 353,000.000 374,180.00 UPC FINANCING 4/13 (USD) AH TL 450,000.000 445,900.50 UPCB FINANCE IV LTD 144A 5.375% 01/15/2025 DD 04/15/15 473,000.000 478,912.50 URBI DESARROLLOS URBANOS 144A 9.500% 01/21/2020 DD 01/19/10 200,000.000 1,000.00 URBI DESARROLLOS URBANOS 144A 9.750% 02/03/2022 DD 02/03/12 1,000,000.000 5,000.00 US TREAS-CPI INFLAT 0.125% 01/15/2022 DD 01/15/12 26,952,267.505 27,349,894.31 US TREAS-CPI INFLAT 0.125% 01/15/2023 DD 01/15/13 12,059,612.500 12,158,537.50 US TREAS-CPI INFLAT 0.125% 04/15/2017 DD 04/15/12 16,427,722.497 16,615,737.78 US TREAS-CPI INFLAT 0.125% 07/15/2022 DD 07/15/12 2,832,995.000 2,882,130.47 US TREAS-CPI INFLAT 0.250% 01/15/2025 DD 01/15/15 17,503,675.000 17,651,125.96 US TREAS-CPI INFLAT 0.375% 07/15/2023 DD 07/15/13 28,757,934.997 29,621,046.90 US TREAS-CPI INFLAT 0.625% 01/15/2024 DD 01/15/14 28,682,507.498 29,864,915.18 US TREAS-CPI INFLAT 1.125% 01/15/2021 DD 01/15/11 23,283,855.000 24,882,501.20 US TREAS-CPI INFLAT 1.250% 07/15/2020 DD 07/15/10 21,182,655.000 22,770,803.37 US TREAS-CPI INFLAT 1.375% 01/15/2020 DD 01/15/10 11,776,947.500 12,607,622.72 US TREAS-CPI INFLAT 1.375% 07/15/2018 DD 07/15/08 3,021,177.500 3,187,460.09 US TREAS-CPI INFLAT 1.625% 01/15/2018 DD 01/15/08 9,725,052.000 10,168,757.50 US TREAS-CPI INFLAT 1.875% 07/15/2019 DD 07/15/09 10,429,488.000 11,337,854.69 US TREAS-CPI INFLAT 2.125% 01/15/2019 DD 01/15/09 9,875,609.000 10,661,154.45 US TREAS-CPI INFLAT 2.375% 01/15/2017 DD 01/15/07 11,900,703.568 12,264,389.07 US TREAS-CPI INFLAT 2.625% 07/15/2017 DD 07/15/07 2,686,167.497 2,828,520.94 UTAH ST 4.554% 07/01/2024 DD 09/29/09 1,010,000.000 1,165,014.80 VALEANT 3/15 F1 TLB 1,188,000.000 1,120,188.96 VALEANT 6/13 TLE 0.000% 08/05/2020 DD 06/06/13 696,672.040 655,742.56 VALEANT 9/13 SERIES D TLB 127,599.240 120,517.48

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 136 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

VALEANT PHARMACEUTICALS I 144A 5.500% 03/01/2023 DD 01/30/15 398,000.000 312,927.50 VALEANT PHARMACEUTICALS I 144A 5.625% 12/01/2021 DD 12/02/13 351,000.000 276,412.50 VALEANT PHARMACEUTICALS I 144A 5.875% 05/15/2023 DD 03/27/15 2,379,000.000 1,864,541.25 VALEANT PHARMACEUTICALS I 144A 6.125% 04/15/2025 DD 03/27/15 1,532,000.000 1,179,640.00 VALEANT PHARMACEUTICALS I 144A 6.375% 10/15/2020 DD 10/04/12 1,042,000.000 864,860.00 VALEANT PHARMACEUTICALS I 144A 7.500% 07/15/2021 DD 07/12/13 669,000.000 557,357.28 VALERO ENERGY CORP 4.900% 03/15/2045 DD 03/13/15 20,000.000 17,857.68 VANTAGE DRILLING 11/13 TL 0.010 0.00 VANTIV 6/14 TLB 166,428.570 166,636.61 VENTAS REALTY LP 4.375% 02/01/2045 DD 01/14/15 195,000.000 178,882.28 VENTURE IX CDO LTD 9A E 144A VAR RT 10/12/2021 DD 09/27/07 3,873,000.000 3,626,096.25 VERISIGN INC 4.625% 05/01/2023 DD 04/16/13 428,000.000 432,280.00 VERISIGN INC 5.250% 04/01/2025 DD 03/27/15 1,325,000.000 1,334,937.50 VERIZON COMMUNICATIONS INC 4.272% 01/15/2036 DD 07/15/15 1,684,000.000 1,675,566.53 VERIZON COMMUNICATIONS INC 5.012% 08/21/2054 DD 02/21/15 95,000.000 95,306.76 VERIZON COMMUNICATIONS INC 5.150% 09/15/2023 DD 09/18/13 1,000,000.000 1,154,213.00 VERIZON COMMUNICATIONS INC 5.850% 09/15/2035 DD 09/13/05 345,000.000 399,513.11 VERIZON COMMUNICATIONS INC 6.000% 04/01/2041 DD 03/28/11 784,000.000 937,236.73 VIACOM INC 4.375% 03/15/2043 DD 03/15/13 309,000.000 238,867.82 VIBRANT CLO LTD 2015 3A D 144A VAR RT 04/20/2026 DD 03/12/15 250,000.000 179,462.50 VIDEOTRON LTD 144A 5.375% 06/15/2024 DD 04/09/14 56,000.000 58,100.00 VIDEOTRON LTD 5.000% 07/15/2022 DD 07/15/12 1,354,000.000 1,401,390.00 VIRGIN MEDIA 5/15 (USD) TLF 625,662.430 619,956.39 VIRGIN MEDIA FINANCE PLC 144A 5.750% 01/15/2025 DD 01/28/15 2,378,000.000 2,407,725.00 VIRGIN MEDIA SECURED FINA 144A 5.250% 01/15/2026 DD 03/30/15 657,000.000 657,000.00 VIRGINIA ELECTRIC & POWER CO 3.150% 01/15/2026 DD 01/14/16 270,000.000 279,260.74 VIRGINIA ST HSG DEV AUTH CMWLT 3.250% 06/25/2042 DD 11/01/15 1,123,338.610 1,123,585.74 VISA INC 2.200% 12/14/2020 DD 12/14/15 1,645,000.000 1,685,866.74 VISA INC 3.150% 12/14/2025 DD 12/14/15 150,000.000 156,581.26 VV HOLDING AS 144A VAR RT 07/10/2019 5,000,000.000 532,165.63 WACHOVIA BANK COMMERCIA C29 AJ VAR RT 11/15/2048 DD 12/01/06 1,269,000.000 1,238,876.99 WACHOVIA BANK COMMERCIA C31 AM VAR RT 04/15/2047 DD 05/01/07 105,000.000 107,643.18 WACHOVIA BANK COMMERCIAL C29 B VAR RT 11/15/2048 DD 12/01/06 1,301,000.000 1,225,245.76 WACHOVIA BANK COMMERCIAL C29 C VAR RT 11/15/2048 DD 12/01/06 1,122,000.000 700,775.73 WALGREENS BOOTS ALLIANCE INC 3.800% 11/18/2024 DD 11/18/14 2,520,000.000 2,593,087.56 WALGREENS BOOTS ALLIANCE INC 4.800% 11/18/2044 DD 11/18/14 465,000.000 462,125.84 WALGREENS INFUSION 4/15 TL 358,200.000 359,095.50 WALT DISNEY CO/THE 1.350% 08/16/2016 DD 08/22/11 2,345,000.000 2,352,325.78 WALTER INVESTMENT 12/13 COV-LITE TL 640,687.510 556,116.76

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 137 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

WALTER INVESTMENT MANAGEMENT C 7.875% 12/15/2021 DD 06/15/14 625,000.000 406,250.00 WAMU MORTGAGE PASS-T AR19 A1A2 VAR RT 12/25/2045 DD 12/23/05 165,743.190 141,561.36 WAMU MORTGAGE PASS-TH AR6 2A1A VAR RT 04/25/2045 DD 04/26/05 384,248.840 355,988.45 WAMU MORTGAGE PASS-THR AR11 A6 VAR RT 10/25/2033 DD 10/01/03 1,723,433.100 1,730,534.51 WARNER MUSIC 5/13 COV-LITE TL 1,174,445.240 1,156,335.30 WASHINGTON REAL ESTATE INVESTM 3.950% 10/15/2022 DD 09/17/12 35,000.000 34,983.66 WASHINGTON ST 1.430% 08/01/2019 DD 10/08/15 1,085,000.000 1,098,779.50 WATCO COS LLC / WATCO FIN 144A 6.375% 04/01/2023 DD 03/22/13 710,000.000 692,250.00 WAVEDIVISION 8/12 TLB 332,933.270 329,603.93 WAYNE MERGER SUB LLC 144A 8.250% 08/01/2023 DD 08/13/15 38,000.000 37,810.00 WEC ENERGY GROUP INC 2.450% 06/15/2020 DD 06/10/15 510,000.000 518,702.14 WELLCARE HEALTH PLANS INC 5.750% 11/15/2020 DD 11/14/13 1,407,000.000 1,456,245.00 WELLS FARGO & CO 2.500% 03/04/2021 DD 03/04/16 1,425,000.000 1,442,997.75 WELLS FARGO MORTGAGE BAC Z 2A1 VAR RT 12/25/2034 DD 11/01/04 642,582.710 637,332.11 WELLS FARGO RE- FRR1 AK16 144A 0.000% 12/27/2043 DD 11/01/13 195,000.000 125,385.00 WENDYS FUNDING LL 1A A2II 144A 4.080% 06/15/2045 DD 06/01/15 2,482,525.000 2,428,554.91 WEST CORP 1/14 B10 TLB 714,662.270 710,395.74 WESTERN GAS PARTNERS LP 3.950% 06/01/2025 DD 06/04/15 377,000.000 323,004.56 WESTERN GAS PARTNERS LP 4.000% 07/01/2022 DD 06/28/12 514,000.000 460,089.11 WESTMORELAND COAL 12/14 TLB 399,298.180 236,252.75 WESTPAC BANKING CORP 7.250% 02/11/2020 1,400,000.000 1,237,664.33 WESTPAC BANKING CORP REGS 5.000% 10/21/2019 615,000.000 985,232.78 WG HORIZONS CLO I 1A D 144A VAR RT 05/24/2019 DD 05/24/06 2,000,000.000 1,932,146.00 WHEELABRATOR TECHNOLOGIES 10/14 2ND LIEN COV-LITE TL 350,000.000 266,875.00 WHEELABRATOR TECHNOLOGIES 10/14 TLB 1,062,864.600 1,004,407.05 WHEELABRATOR TECHNOLOGIES 10/14 TLC 47,358.020 44,753.33 WHITEWAVE FOODS CO/THE 5.375% 10/01/2022 DD 09/17/14 427,000.000 459,558.75 WIDEOPENWEST 5/15 TLB 1,005,111.070 993,089.94 WILLIAMS COS INC/THE 3.700% 01/15/2023 DD 12/18/12 1,016,000.000 759,460.00 WILLIAMS COS INC/THE 4.550% 06/24/2024 DD 06/24/14 1,735,000.000 1,318,600.00 WILLIAMS PARTNERS LP 3.900% 01/15/2025 DD 06/27/14 205,000.000 165,748.24 WIND ACQUISITION FINANCE 144A 4.750% 07/15/2020 DD 07/10/14 1,211,000.000 1,144,395.00 WIND ACQUISITION FINANCE 144A 6.500% 04/30/2020 DD 04/29/13 492,000.000 496,920.00 WIND ACQUISITION FINANCE 144A 7.375% 04/23/2021 DD 04/23/14 491,000.000 444,355.00 WR BERKLEY CORP 6.250% 02/15/2037 DD 02/14/07 45,000.000 53,454.47 WR GRACE & CO-CONN 144A 5.125% 10/01/2021 DD 09/16/14 722,000.000 750,880.00 WTG HOLDINGS 12/13 COV-LITE TL 1,173,000.000 1,146,607.50 XPO LOGISTICS 10/15 COV-LITE TLB 330,000.000 330,825.00 XPO LOGISTICS INC 144A 6.500% 06/15/2022 DD 06/09/15 1,975,000.000 1,918,218.75

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 138 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ZAYO (6/12) TL 1,213,824.480 1,206,747.88 ZAYO GROUP LLC / ZAYO CAP 144A 6.375% 05/15/2025 DD 11/15/15 1,093,000.000 1,068,516.80 ZAYO GROUP LLC / ZAYO CAPITAL 10.125% 07/01/2020 DD 06/28/12 187,000.000 200,090.00 ZAYO GROUP LLC / ZAYO CAPITAL 6.000% 04/01/2023 DD 10/01/15 2,032,000.000 2,028,179.84 ZAYO GROUP LLC / ZAYO CAPITAL 6.375% 05/15/2025 DD 11/15/15 82,000.000 80,155.00 ZEBRA 10/14 TL 799,772.710 804,003.51 ZEBRA TECHNOLOGIES CORP 7.250% 10/15/2022 DD 10/15/14 4,768,000.000 5,173,280.00 ZF NORTH AMERICA CAPITAL 144A 4.500% 04/29/2022 DD 04/29/15 229,000.000 233,580.00 ZF NORTH AMERICA CAPITAL 144A 4.750% 04/29/2025 DD 04/29/15 337,000.000 335,315.00 ZIGGO 2/14 (USD) TLB1 313,872.340 310,601.79 ZIGGO 2/14 (USD) TLB2 202,978.720 200,863.68 ZIGGO 2/14 (USD) TLB3 333,148.940 329,677.53 ZIMMER BIOMET HOLDINGS INC 2.700% 04/01/2020 DD 03/19/15 85,000.000 86,191.79 ZIONS BANCORPORATION VAR RT 12/29/2049 DD 05/21/13 1,990,000.000 1,890,500.00 FUTURES CONTRACTS 81.000 361,793.01 RUSSELL 2000 MINI IND FUT (NYF EXP JUN 16 81.000 361,793.01 NATURAL RESOURCES 16,613,626.930 16,613,626.93 BTG PACTUAL BRAZIL TIMBERLAND IB LP 7,024,942.930 7,024,942.93 TAURUS MINING FINANCE FD LLC 9,588,684.000 9,588,684.00 OTHER 38,148,684.107 407,427,946.26 PIMCO ALL ASSET FUND-INST 38,148,684.107 407,427,946.26 PREFERRED SECURITIES 26,125,214.000 107,817,004.84 AMERICAN HOMES 4 RENT PFD 5.000% CUMULATIVE 59,693.000 1,619,627.61 AMERICAN HOMES 4 RENT PFD 5.500% CUMULATIVE 4,020.000 105,525.00 APARTMENT INVESTMENT & MANAGEM PFD 6.875% CUMULATIVE 15,782.000 431,322.06 APOLLO COMMERCIAL REAL ESTATE PFD 8.625% CUMULATIVE 20,020.000 504,704.20 ARBOR REALTY TRUST INC PFD 7.375% 34,645.000 863,353.40 BAC CAPITAL TRUST XIV VAR RT 09/29/2049 DD 02/16/07 3,190,000.000 2,322,702.80 CBL & ASSOCIATES PROPERTIES IN PFD 6.625% CUMULATIVE 105,910.000 2,540,780.90 CBL & ASSOCIATES PROPERTIES IN PFD 7.375% CUMULATIVE 30,191.000 747,227.25 CEDAR REALTY TRUST INC PFD 7.250% CUMULATIVE 129,088.000 3,269,799.04 CHESAPEAKE LODGING TRUST PFD 7.750% CUMULATIVE 39,720.000 1,043,444.40 CITIGROUP INC VAR RT 07/29/2049 DD 10/29/12 100,000.000 96,343.70 CITIGROUP INC VAR RT 12/29/2049 DD 12/13/12 1,070,000.000 1,051,275.00 COLONY CAPITAL INC PFD 7.125% CUMULATIVE 67,606.000 1,492,740.48 COLONY CAPITAL INC PFD 7.500% CUMULATIVE 21,359.000 519,023.70 COLONY CAPITAL INC PFD 8.500% CUMULATIVE 24,028.000 602,862.52 CORESITE REALTY CORP PFD 7.250% CUMULATIVE 31,550.000 820,300.00 CORPORATE OFFICE PROPERTIES TR PFD 7.375% CUMULATIVE 36,868.000 958,568.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 139 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

DDR CORP PFD 6.500% CUMULATIVE 21,261.000 550,064.59 DIGITAL REALTY TRUST INC PFD 6.350% CUMULATIVE 96,398.000 2,487,068.40 DTE ENERGY CO PFD 5.250% CUMULATIVE 18,221.000 468,826.33 ELECTRICITE DE FRANCE SA 144A VAR RT 12/29/2049 DD 01/22/14 450,000.000 411,750.00 ENTERGY ARKANSAS INC PFD 6.450% CUMULATIVE 16,772.000 435,233.40 ENTERGY NEW ORLEANS INC PFD 5.500% 46,562.000 1,184,537.28 ENTERGY TEXAS INC PFD 5.625% 41,556.000 1,112,454.12 EPR PROPERTIES PFD 6.625% CUMULATIVE 14,910.000 390,642.00 EQUITY COMMONWEALTH PFD 7.250% CUMULATIVE 18,446.000 468,897.32 EQUITY LIFESTYLE PROPERTIES IN PFD 6.750% CUMULATIVE 533.000 13,762.06 FIFTH THIRD BANCORP VAR RT 12/29/2049 DD 05/16/13 2,990,000.000 2,713,425.00 FIRST NIAGARA FINANCIAL GROUP PFD 8.625% NON-CUMULATIVE 70,773.000 1,885,392.72 FIRST TENNESSEE BANK NA 144A PFD 3.750% NON-CUMULATIVE 1,920.000 1,255,440.01 GENERAL ELECTRIC CO VAR RT 12/29/2049 DD 01/20/16 3,690,000.000 3,800,700.00 GENERAL GROWTH PROPERTIES INC PFD 6.375% CUMULATIVE 60,271.000 1,561,018.90 GRAMERCY PROPERTY TRUST PFD 7.125% CUMULATIVE 64,517.000 1,677,442.00 HARTFORD FINANCIAL SERVICES GR PFD 7.875% CUMULATIVE 88,207.000 2,753,822.54 HERSHA HOSPITALITY TRUST PFD 6.875% CUMULATIVE 57,796.000 1,573,785.08 HERSHA HOSPITALITY TRUST PFD 8.000% CUMULATIVE 43,201.000 1,086,937.16 INTEGRYS HOLDING INC PFD 6.000% 56,683.000 1,493,256.95 INVESTORS REAL ESTATE TRUST PFD 7.950% CUMULATIVE 55,271.000 1,446,994.78 IRC RETAIL CENTERS INC PFD 6.950% CUMULATIVE 89,093.000 2,237,125.23 IRC RETAIL CENTERS INC PFD 8.125% CUMULATIVE 560.000 14,067.20 LASALLE HOTEL PROPERTIES PFD 6.375% CUMULATIVE 3,651.000 93,100.50 LASALLE HOTEL PROPERTIES PFD 7.500% CUMULATIVE 356.000 9,021.04 M&T BANK CORP PFD 6.375% CUMULATIVE 743.000 768,865.00 MONMOUTH REAL ESTATE INVESTMEN PFD 7.875% CUMULATIVE 9,641.000 253,587.23 NEXTERA ENERGY CAPITAL HOLDING PFD 5.000% CUMULATIVE 47,416.000 1,205,788.88 NEXTERA ENERGY CAPITAL HOLDING PFD 5.625% CUMULATIVE 31,109.000 796,390.40 NEXTERA ENERGY CAPITAL HOLDING PFD 5.700% CUMULATIVE 19,960.000 517,762.40 NEXTERA ENERGY CAPITAL HOLDING VAR RT 10/01/2066 DD 09/19/06 720,000.000 531,000.00 NORTHSTAR REALTY FINANCE CORP PFD 8.750% CUMULATIVE 26,695.000 603,040.05 NORTHSTAR REALTY FINANCE CORP PFD 8.875% CUMULATIVE 3,623.000 86,770.85 NUSTAR LOGISTICS LP PFD 7.625% CUMULATIVE 19,153.000 432,857.80 O'SULLIVAN INDUSTRIES HOLDINGS INC SR PFD 24,700.000 0.00 ORIGIN ENERGY FINANCE LTD REGS VAR RT 06/16/2071 1,120,000.000 1,210,758.20 PACIFIC GAS & ELECTRIC CO PFD 6.000% CUMULATIVE 49,747.000 1,518,377.93 PEBBLEBROOK HOTEL TRUST PFD 6.500% CUMULATIVE 100,924.000 2,603,839.20 PEBBLEBROOK HOTEL TRUST PFD 8.000% CUMULATIVE 13,640.000 351,639.20

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 140 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

POST PROPERTIES INC PFD 8.500% CUMULATIVE 1,673.000 103,742.73 PPL CAPITAL FUNDING INC PFD 5.900% CUMULATIVE 132,302.000 3,509,972.06 PREFERRED TERM SECURITIES 144A VAR RT 09/24/2033 DD 09/17/03 559,000.000 296,270.00 RAIT FINANCIAL TRUST PFD 7.125% 16,936.000 387,495.68 REGIONS FINANCIAL CORP PFD 6.375% NON-CUMULATIVE 61,173.000 1,587,439.35 SAUL CENTERS INC PFD 6.875% CUMULATIVE 28,171.000 747,940.05 SCE TRUST I PFD 5.625% CUMULATIVE 54,112.000 1,380,397.12 SCE TRUST V PFD 5.450% CUMULATIVE 46,595.000 1,237,097.25 STAG INDUSTRIAL INC PFD 6.875% CUMULATIVE 45,104.000 1,192,549.76 STAG INDUSTRIAL INC PFD 9.000% CUMULATIVE 3,233.000 84,058.00 SUMMIT HOTEL PROPERTIES INC PFD 7.125% CUMULATIVE 94,169.000 2,439,918.79 SUMMIT HOTEL PROPERTIES INC PFD 7.875% CUMULATIVE 62,384.000 1,631,341.60 SUMMIT HOTEL PROPERTIES INC PFD 9.250% CUMULATIVE 12,346.000 325,934.40 SUN COMMUNITIES INC PFD 7.125% CUMULATIVE 684.000 17,852.40 SUNSTONE HOTEL INVESTORS INC PFD 6.950% CUMULATIVE 64,781.000 1,700,501.25 SUNSTONE HOTEL INVESTORS INC PFD 8.000% CUMULATIVE 55,941.000 1,399,811.65 SUNTRUST PREFERRED CAPITAL I VAR RT 06/29/2049 DD 10/25/06 52,000.000 38,285.00 SYNOVUS FINANCIAL CORP PFD 7.875% NON-CUMULATIVE 66,332.000 1,895,768.56 TAUBMAN CENTERS INC PFD 6.250% CUMULATIVE 51,228.000 1,299,654.36 TAUBMAN CENTERS INC PFD 6.500% CUMULATIVE 64,090.000 1,634,935.90 TERRENO REALTY CORP PFD 7.750% CUMULATIVE 9,643.000 250,235.85 UMH PROPERTIES INC PFD 8.000% CUMULATIVE 39,093.000 1,016,418.00 URSTADT BIDDLE PROPERTIES INC PFD 6.750% CUMULATIVE 82,758.000 2,217,914.40 URSTADT BIDDLE PROPERTIES INC PFD 7.125% CUMULATIVE 41,890.000 1,105,896.00 US BANCORP PFD 3.500% NON-CUMULATIVE 2,090.000 1,665,280.00 US BANCORP PFD 6.500% NON-CUMULATIVE 54,032.000 1,589,621.44 USB CAPITAL IX VAR RT 10/29/2049 DD 03/17/06 4,425,000.000 3,274,500.00 VEREIT INC PFD 6.700% CUMULATIVE 4,564.000 115,606.12 WACHOVIA CAPITAL TRUST III VAR RT 03/29/2049 DD 02/01/06 4,530,000.000 4,473,375.00 WELLS FARGO & CO PFD 5.850% NON-CUMULATIVE 86,049.000 2,268,251.64 WELLS FARGO & CO PFD 6.625% NON-CUMULATIVE 77,563.000 2,274,922.79 WELLS FARGO REAL ESTATE INVEST PFD 6.375% CUMULATIVE 13,248.000 356,768.64 WP GLIMCHER INC PFD 6.875% CUMULATIVE 46,170.000 1,170,123.24 WP GLIMCHER INC PFD 7.500% CUMULATIVE 28,171.000 732,446.00 ZIONS BANCORPORATION PFD 6.950% 47,900.000 1,399,638.00 PRIVATE EQUITY 3,287,757,243.900 3,293,229,405.10 AMERRA AGRI FUND II 48,309,890.120 48,309,890.12 AMERRA-KRS AGRI HOLDING CO LP 24,315,824.830 24,315,824.83 ARBOR INVESTMENTS II LP 3,320,389.800 3,320,389.80

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 141 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

ARCANO FUND LP 26,881,478.490 26,881,478.49 ARES SPECIAL SIT IV LP 7,497,106.000 7,497,106.00 AVENUE SPECIAL SITUATIONS V 35,769.000 35,769.00 BAY HILLS EMERGING PARTNERS I LP 54,250,011.960 54,250,011.96 BAY HILLS EMERGING PARTNERS II LP 91,706,460.040 91,706,460.04 BAY HILLS EMERGING PARTNERS III LP 18,130,695.230 18,130,695.23 BDCM OPPORTUNITY FD IV LP 7,982,488.000 7,982,488.00 BLACKSTONE CAPITAL PARTNERS VI 91,693,939.690 91,693,939.69 BLACKSTONE CAPITAL V LP 27,080,890.210 27,080,890.21 BLACKSTONE HENRY CLAY FUND LLC 440,309,256.000 440,309,256.00 CAMELOT ACQUISITIONS SECONDARY OPP LP 13,445,031.340 13,445,031.34 CERBERUS KRS LEVERED LOAN OPP 122,302,077.560 122,302,077.56 COLUMBIA CAP EQUITY PTRS IV 27,936,181.580 27,936,181.58 CRESTVIEW CAPITAL PARTNERS II LP 57,958,264.000 57,958,264.00 CRESTVIEW PARTNERS III LP 13,124,921.000 13,124,921.00 CVC CAPITAL PARTNERS VI LP 11,950,662.700 13,618,377.68 DAG VENTURE II 6,839,469.210 6,839,469.21 DAG VENTURES III LP 9,065,951.890 9,065,951.89 DAG VENTURES IV LP 101,629,312.760 101,629,312.76 DAG VENTURES V LP 55,363,178.430 55,363,178.43 DANIEL BOONE LLC 451,037,334.040 451,037,334.04 DAVIDSON-KEMPNER LP 39,977,591.860 39,977,591.86 DCM VI LP 17,846,382.000 17,846,382.00 DSAM FUND LP 20,000,000.000 20,000,000.00 ESSEX WOODLANDS HEALTH VENT FD VIII LP 25,827,676.000 25,827,676.00 GREEN EQUITY INVESTORS IV LP 3,289,002.000 3,289,002.00 GREEN EQUITY INVESTORS V LP 69,814,954.000 69,814,954.00 GREEN EQUITY INVESTORS VI LP 46,850,715.490 46,850,715.49 GREENFIELD ACQUISITION VI 34,743,209.000 34,743,209.00 GTCR FUND IX 7,758,200.000 7,758,200.00 HARVEST PARTNERS V LP 15,747,039.000 15,747,039.00 HARVEST PARTNERS VI LP 33,906,147.000 33,906,147.00 HELLMAN & FRIEDMAN VI L P 6,664,640.000 6,664,640.00 HIG BIOVENTURES II 8,229,115.740 8,229,115.74 HIG CAPITAL PARTNERS V L P 3,060,091.000 3,060,091.00 HIG VENTURE PARTNERS II LP 9,727,344.000 9,727,344.00 HORSLEY BRIDGE INTERNATIONAL V 52,794,325.000 52,794,325.00 INSTITUTIONAL VENTURE PARTNERS XI LP 39,762.000 39,762.00 INSTITUTIONAL VENTURE PARTNERS XII LP 12,284,632.000 12,284,632.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 142 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

JW CHILDS EQUITY PARTNERS III L P 1,105.000 1,105.00 KEYHAVEN CAPITAL PARTNERS III GP LP 11,916,349.750 13,579,276.36 LEVINE LEICHTMAN V CAPITAL PARTNERS LP 40,520,170.440 40,520,170.44 MAGNETAR MTP 79,550,103.000 79,550,103.00 MAGNETAR MTP EOF II 8,232,848.720 8,232,848.72 MARATHON BLUEGRASS LP 180,000,000.000 180,000,000.00 MATLIN PATTERSON GLOB PTRS III 33,735,391.830 33,735,391.83 MATLIN PATTERSON GLOBAL OPPORTUNITIES PARTNERS II 2,018,029.000 2,018,029.00 MATLINPATTERSON GLOBAL OPP INVESTMENTS LP 25,351.000 25,351.00 MERIT MEZZANINE FUND IV LP 12,432,074.000 12,432,074.00 MHR INSTITUTIONAL PARTNERS III 1,584,603.000 1,584,603.00 MILL ROAD CAPITAL I LP 26,908,118.320 26,908,118.32 MYRIAD OPPORTUNITIES 35,000,000.000 35,000,000.00 NEW MOUNTAIN PARTNERS II LP 559,496.000 559,496.00 NEW MOUNTAIN PARTNERS III 37,399,490.000 37,399,490.00 NEW MOUNTAIN PARTNERS IV LP 21,311,082.000 21,311,082.00 NEWPORT COLONELS LLC 388,624,812.000 388,624,812.00 OAK HILL CAP PT II 7,182,771.870 7,182,771.87 OAK HILL III 30,361,774.700 30,361,774.70 OBERLAND CAP HEALTHCARE LP 3,606,598.880 3,606,598.88 OCM OPP FUND VIIB (CAYMAN) LTD 910,844.000 910,844.00 RIVERSIDE CAPITAL APPREC FUND VI LP 30,357,374.000 30,357,374.00 SECONDARY OPP FUND III LP 19,355,247.680 19,355,247.68 SUN CAPITAL PARTNERS IV LP 1,281,104.000 1,281,104.00 TCV VI LP 663,517.000 663,517.00 TPF II LP 2,283,748.000 2,283,748.00 TRITON FUND IV LP 15,345,894.740 17,487,414.35 VANTAGE POINT VENTURE PARTNER 2006(Q) LP 13,602,600.000 13,602,600.00 VANTAGEPOINT VENTURE PART IV-Q 6,563,859.000 6,563,859.00 VISTA EQUITY PARTNERS FUND III 22,731,371.000 22,731,371.00 VISTA EQUITY PARTNERS FUND IV LP 60,156,556.000 60,156,556.00 WARBURG PINCUS PE IX LP 9,019,822.000 9,019,822.00 WARBURG PINCUS PRIVATE EQUITY X LP 24,272,002.000 24,272,002.00 WAYZATA OPP FUND OFFSHORE LP 3,400,620.000 3,400,620.00 WAYZATA OPPORTUNITIES FUND II 15,591,585.000 15,591,585.00 WAYZATA OPPORTUNITIES FUND III 20,523,520.000 20,523,520.00 REAL ESTATE 686,732,752.631 687,502,876.59 DIVCOWEST FUND IV REIT LLC 29,916,640.900 29,916,640.90 GREENFIELD ACQUISITION PARTNERS VII 26,994,882.000 26,994,882.00

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 143 of 144 Asset Detail Acct Base Currency Code : USD ALL KR2 AND KR3 - KR2GALLKRS00 As Of Date : 3/31/2016 Accounting Status : PRELIMINARY

. Mellon Security ID Security Description Shares/Par Base Market Value

H/2 CORE RE DEBT 27,501,970.750 27,501,970.75 H/2 CREDIT PARTNERS LP 100,000,000.280 100,000,000.28 HARRISON STREET CORE PROPERTY FUND LP 99,968,856.000 99,968,856.00 LUBERT-ADLER RE FD VII LP 23,827,942.090 23,827,942.09 MESA WEST CORE LENDING FUND LP 87,538,972.000 87,538,972.00 MESA WEST RE INCOME FUND II (PF-1) LP 2,462.000 2,462.00 PERIMETER PARK WEST 1260 LOUISVILLE 7,300,000.000 7,300,000.00 PRIMA MORTGAGE INVESTMENT TRUST LLC 246,150.271 1,016,274.23 PROLOGIS TARGETED US LOGISTICS HOLDINGS LP 78,158,988.870 78,158,988.87 RUBENSTEIN PROPERTIES FUND II LP 24,719,054.450 24,719,054.45 STOCKBRIDGE FUND LP 107,940,903.290 107,940,903.29 WALTON STREET RE FD VII-Q LP 48,198,508.150 48,198,508.15 WALTON STREET REAL ESTATE FUND VI LP 24,417,421.580 24,417,421.58

Report Timestamp: Thu Apr 14 2016 11:55:08 AM Page 144 of 144